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文章基本信息

  • 标题:A Bayesian Implementation of the Standard Optimal Hedging Model: Parameter Estimation Risk and Subjective Views
  • 本地全文:下载
  • 作者:Shi, Wei ; Irwin, Scott H.
  • 期刊名称:Journal of Food Distribution Research
  • 印刷版ISSN:0047-245X
  • 出版年度:2005
  • 期号:SUPPL
  • 出版社:Food Distribution Research Society
  • 摘要:We develop a Bayesian implementation of the standard optimal hedging model to analyze the impact of hedgers' subjective views on their hedging behavior. The results show the subjective views have a substantial impact on hedgers' optimal positions, explaining the large cross-sectional and time series variation of hedging positions in practice.
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