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Optimization of Soybean Buying Strat...

North Dakota State University., Agribusiness and Applied Economics.

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Optimization of Soybean Buying Strategies Using Derivatives.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Optimization of Soybean Buying Strategies Using Derivatives./
作者:	Moody, Nathaniel David.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
面頁冊數:	149 p.
附註:	Source: Masters Abstracts International, Volume: 57-04.
Contained By:	Masters Abstracts International57-04(E).
標題:	Agricultural economics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10687560
ISBN:	9780355621334

Optimization of Soybean Buying Strategies Using Derivatives.
Moody, Nathaniel David.

Optimization of Soybean Buying Strategies Using Derivatives. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 149 p.

Source: Masters Abstracts International, Volume: 57-04.

Thesis (M.S.)--North Dakota State University, 2018.

The portfolio model of hedging framework, based off Markowitz (1952), is used to determine the best mix of futures, basis, and option contracts to hedge a soybean purchase from PNW 28 weeks in to the future. Eighteen options are incorporated including in-the-money, at-the-money, and out-of-the-money call and puts with different expiration dates. Futures and option pricing data is extracted from ProphetX from November of 2013 to December of 2016. Expected utility objectives including mean-variance, CVaR, Mean-CVaR, and Mean-CVaR with copula are maximized using linear programming optimization methods. A two stage model is built to simulate hedging scenarios while measuring various statistics. Under high risk aversion, a standard futures hedge performs the best. Buyers with lower risk aversion should explore option strategies. In-the-money calls, collars, strangles, and short butterfly strategies all perform well.

ISBN: 9780355621334Subjects--Topical Terms:

3172150
Agricultural economics.

Optimization of Soybean Buying Strategies Using Derivatives.
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