The Value of Information on the Optimal Hedging Strategy

• 발행기관: 한국농업경제학회
• 저자명: Seungjee Hong
• 간행물 정보: 『농업경제연구』51권 3호, 23~42쪽, 전체 20쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2010.09.30

영문 초록

The purpose of this paper is to assess the relative value of improved information of the mean and volatility of hog prices for making producer-marketing decisions. The producer’s decisions are derived in an expected utility maximization framework in which marketing strategies consist of various combinations of futures contracts and put and call options. Based on the results, the value of better information is negative in certainty equivalent terms especially when the producer has only better information about volatility. Therefore, his choice of the optimal strategy under better information can be divergent from the optimal strategy that he might choose under the true information. This result suggests that without both mean and volatility expectations decision maker can be misled to undesirable directions.

목차

Ⅰ. Introduction

Ⅱ. Literature Review

Ⅲ. Model and Data

Ⅳ. Results and Implication

Ⅴ. Conclusions and Limitations

키워드

Value of Information Hedging Strategy Mean Volatility