Optimal Crop Planting Schedule and Hedging Strategy Under ENSO-based Climate Forecast
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چکیده
This article investigates the optimal crop planting schedule and hedging strategy in the mean return versus CVaR risk framework. Crop insurances and futures contracts are available for hedging against yield and price risks. The impact of the ENSO-based climate forecast on the optimal production and hedging decision is examined. Gaussian copula is applied in simulating the scenarios of correlated non-normal random yields and prices. Using data of a representative cotton producer in the Southeastern United States, the best production and hedging strategy is evaluated under various risk tolerances for each ENSO phases.
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Optimal crop planting schedules and financial hedging strategies under ENSO-based climate forecasts
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