[英文文献] Perfect Cross-Hedging Opportunities Via Formula Pricing: The Case Of The Br... [推广有奖]

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总成本474 发表于 2005-8-24 11:25:32 |AI写论文

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英文文献：Perfect Cross-Hedging Opportunities Via Formula Pricing: The Case Of The Broiler Industry
英文文献作者：Carter, Joy,Maynard, Leigh J.,Dillon, Carl R.
英文文献摘要：
One supplier of broilers without giblets (WOGs) offers customers a choice between paying Urner Barry's WOG quote or a formula price based on futures prices. From a buyer's perspective, the formula price is second-degree stochastic dominant, thus acting a marketing inducement. The formula price allows the seller to set almost perfect cross-hedges of WOGs with corn and soymeal. Stochastic dominance results suggested that the seller's dominant strategy would shift from the unhedged Urner Barry quote to the unhedged formula price as risk aversion increased. The hedged formula price was prominent in optimal portfolios of pricing strategies.