Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/11981
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dc.contributor.authorVeld-Merkoulova, Yulia V-
dc.contributor.authorde, Roon Frans A-
dc.date.accessioned2013-06-20T00:09:13Z-
dc.date.issued2003-02-
dc.identifier.urihttp://hdl.handle.net/1893/11981-
dc.description.abstractThis study focuses on the problem of hedging longer-term commodity positions, which often arises when the maturity of actively traded futures contracts on this commodity is limited to a few months. In this case, using a rollover strategy results in a highs residual risk, which is related to the uncertain futures basis. We use a one-factor term structure model of futures convenience yields in order to construct a hedging strategy that minimizes both spot-price risk and rollover risk by using futures of two different maturities. The model is tested using three commodity futures: crude oil, orange juice, and lumber. In the out-of-sample test, the residual variance of the 24-month combined spot-futures positions is reduced by, respectively, 77%, 47%, and 84% compared to the variance of a naive hedging portfolio. Even after accounting for the higher trading volume necessary to maintain a two-contract hedge portfolio, this risk reduction outweighs the extra trading costs for the investor with an average risk aversion.en_UK
dc.language.isoen-
dc.publisherWiley-Blackwell for Wiley Periodicals-
dc.relationVeld-Merkoulova YV & de Roon FA (2003) Hedging long-term commodity risk, Journal of Futures Markets, 23 (2), pp. 109-133.-
dc.rightsThe publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.-
dc.subject.lcshCommodity control-
dc.titleHedging long-term commodity risken_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-31T00:00:00Z-
dc.rights.embargoreasonThe publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.-
dc.identifier.doihttp://dx.doi.org/10.1002/fut.10060-
dc.citation.jtitleJournal of Futures Markets-
dc.citation.issn0270-7314-
dc.citation.volume23-
dc.citation.issue2-
dc.citation.spage109-
dc.citation.epage133-
dc.citation.publicationstatusPublished-
dc.citation.peerreviewedRefereed-
dc.type.statusPublisher version (final published refereed version)-
dc.author.emailj.w.veld-merkoulova@stir.ac.uk-
dc.citation.date19/12/2002-
dc.contributor.affiliationAccounting and Finance-
dc.contributor.affiliationTilburg University-
dc.rights.embargoterms2999-12-31-
dc.rights.embargoliftdate2999-12-31-
dc.identifier.isi000180028200001-
Appears in Collections:Accounting and Finance Journal Articles

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