Optimal hedging in the futures market under price uncertainty

Simon Benninga; Rafael Eldor; Itzhak Zilcha

doi:10.1016/0165-1765(83)90076-9

Optimal hedging in the futures market under price uncertainty

Simon Benninga^*, Rafael Eldor, Itzhak Zilcha

^*Corresponding author for this work

School of Economics

Research output: Contribution to journal › Article › peer-review

Abstract

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 language	English
Pages (from-to)	141-145
Number of pages	5
Journal	Economics Letters
Volume	13
Issue number	2-3
DOIs	https://doi.org/10.1016/0165-1765(83)90076-9
State	Published - 1983

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10.1016/0165-1765(83)90076-9

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title = "Optimal hedging in the futures market under price uncertainty",

abstract = "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.",

author = "Simon Benninga and Rafael Eldor and Itzhak Zilcha",

note = "Funding Information: * This research was supported by funds granted Research by Bank Leumi Le-Israel.",

year = "1983",

doi = "10.1016/0165-1765(83)90076-9",

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Optimal hedging in the futures market under price uncertainty

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