Optimal hedging in the futures market under price uncertainty

Simon Benninga*, Rafael Eldor, Itzhak Zilcha

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


We show that there exists a simple optimal hedging rule in the futures markets, for all risk averse decision makers, given that (a) futures price today is an unbiased predictor of the futures price next period, (b) basis is independent of the spot price.

Original languageEnglish
Pages (from-to)141-145
Number of pages5
JournalEconomics Letters
Issue number2-3
StatePublished - 1983


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