dc.contributor.author | Schütz, Peter | |
dc.contributor.author | Westgaard, Sjur | |
dc.date.accessioned | 2018-01-31T13:46:39Z | |
dc.date.available | 2018-01-31T13:46:39Z | |
dc.date.created | 2018-01-17T09:28:33Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Journal of Commodity Markets. 2018, . | nb_NO |
dc.identifier.issn | 2405-8513 | |
dc.identifier.uri | http://hdl.handle.net/11250/2481043 | |
dc.description.abstract | 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. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Elsevier | nb_NO |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.title | Optimal hedging strategies for salmon producers | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | acceptedVersion | nb_NO |
dc.source.pagenumber | 11 | nb_NO |
dc.source.journal | Journal of Commodity Markets | nb_NO |
dc.identifier.doi | 10.1016/j.jcomm.2017.12.009 | |
dc.identifier.cristin | 1544903 | |
dc.description.localcode | © 2018. This is the authors’ accepted and refereed manuscript to the article. Locked until 2.1.2021 due to copyright restrictions. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ | nb_NO |
cristin.unitcode | 194,60,25,0 | |
cristin.unitname | Institutt for industriell økonomi og teknologiledelse | |
cristin.ispublished | false | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |