|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|101678||2018||20 صفحه PDF||سفارش دهید||6571 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Commodity Markets, Available online 2 January 2018
We study the optimal hedging decisions for a risk-averse salmon producer. The hedging decisions are determined using a multistage stochastic programming model. The objective is to maximize the weighted sum of expected revenues from selling salmon either in the spot market or in futures contracts and Conditional Value-at-Risk (CVaR) of the revenues over the planning horizon. The scenario tree for the multistage stochastic programming model is generated based on a procedure that combines Principal Component Analysis and state space modelling. We present results for 3 different CVaR percentiles and different degrees of risk-aversion. The results indicate that salmon producers should use futures contracts to hedge price risk already at fairly low degrees of risk-aversion. The methods described in this paper will be useful as a decision support tool for determining fish companies' risk management and hedging strategies.