文章基本信息

标题：HEDGING CROP RISK WITH YIELD INSURANCE FUTURES AND OPTIONS
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作者：Mahul, Olivier ; Vermersch, Dominique
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：1999
期号：SUPPL
出版社：Food Distribution Research Society
摘要：This paper analyses the optimal hedging decisions for risk-averse producers facing crop risk,assuming crop yield insurance futures and options can be used. The first-best optimal hedgerequires a futures position or an option position proportionate to the individual beta dependingon whether the financial markets are perceived unbiased or biased. Using yield data for asample of wheat producers in France, the producers' hedge ratios are derived. These newhedging instruments are more effective to reduce farm yield variability than the individualyield contracts, except if the individual yield guarantee is at least equal to the individualaverage yield.
关键词：crop insurance; hedging position; incomplete markets