دانلود مقاله ISI انگلیسی شماره 101678
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
101678 2018 20 صفحه PDF سفارش دهید 6571 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Optimal hedging strategies for salmon producers
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Commodity Markets, Available online 2 January 2018

پیش نمایش مقاله
پیش نمایش مقاله

چکیده انگلیسی

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.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.