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Abstract: Hedging the inherent price risk arising from the storage of a commodity with a futures market transaction is an effective means to control risk and therefore is an important rationale for the existence of organized futures markets. A related consideration to the theory of hedging is examining the factors affecting the simultaneous determination of spot and future prices. The purpose of this paper is to develop the basic relationships between these two topics by examining the basis formulation... (Update)
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BibTeX entry: (Update)
@misc{ smyser-basis,
author = "Michael W. Smyser and Robert T. Daigler",
title = "Basis And The Minimum Variance Hedge",
url = "citeseer.ist.psu.edu/408677.html" }
Citations (may not include all citations):56 Portfolio Selection: Efficient Diversification of Investment (context) - Markowitz - 1959
8 Treatise on Money (context) - Keynes - 1930
4 The Hedging Performance of the New Futures Markets (context) - Ederington - 1979
1 The Effects of Supply and Interest Rate Shocks in Commodity .. (context) - Bond - 1984
1 The Theory of Hedging and Speculation in Commodity Futures (context) - Johnson - 1960
1 The Simultaneous Determination of Spot and Futures Prices (context) - Stein - 1961
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