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• W3121507246 abstract "This article examines the hedging of constrained commodity positions with futures contracts. We extend the study of Adler and Detemple (1988a, 1988b) to include a partial information framework where the convenience yield is not observable. As a consequence, futures prices depend on investor's beliefs regarding the value of the convenience yield, and every component of the hedge is impacted by these beliefs. We achieve a decomposition of the demand that clarifies the impact on the optimal hedge of the beliefs, the spot price and the risk-free rate as well as the hedging horizon." @default.
• W3121507246 created "2021-02-01" @default.
• W3121507246 creator A5071632378 @default.
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• W3121507246 date "2011-10-05" @default.
• W3121507246 modified "2023-10-16" @default.
• W3121507246 title "The Traditional Hedging Model Revisited with a Nonobservable Convenience Yield" @default.
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• W3121507246 doi "https://doi.org/10.1111/j.1540-6288.2011.00312.x" @default.
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