HEDGING WITH FUTURES AND OPTIONS UNDER A TRUNCATED CASH PRICE DISTRIBUTION

Many agricultural producers face cash price distributions that are effectively truncated at a lower limit through participation in farm programs designed to support farm prices and incomes. For example, the 1996 Federal Agricultural Improvement Act (FAIR) makes many producers eligible to obtain marketing loans which truncate their cash price realization at the loan rate, while allowing market prices to freely equilibrate supply and demand. This paper studies the effects of truncated cash price distributions on the optimal use of futures and options. The results show that truncation in the cash price distribution facing an individual producer provides incentives to trade options as well as futures. We derive optimal futures and options trading rules under options as well as futures. We derive optimal futures and options trading rules under a range of different truncation scenarios. Empirical results highlights the impacts of basis risk and yield risk on the optimal futures and options portfolio.farm programs, futures, hedging, options, truncation, Marketing,

OPTIMAL POST-HARVEST GRAINS STORAGE BY RISK AVERSE FARMERS

Most previous research on post-harvest grain storage by farmers has assumed risk-neutral behavior and/or made restrictive assumptions about underlying price probability distributions. In this study we solve the optimal post-harvest storage problem for a risk averse farmer under more general assumptions about underlying price distributions. The resulting model is applied to Michigan corn farmers and results show that, contrary to the sell all-or-nothing risk-neutral rule, risk averse farmers will spread sales out over the storage season. The optimal pattern for sales by Michigan corn farmers is to sell approximately 50% of corn at harvest in November (a risk-reduction strategy) and approximately 40% in May (a return-enhancing strategy).Crop Production/Industries,

Relative Entropy and Holography

Relative entropy between two states in the same Hilbert space is a fundamental statistical measure of the distance between these states. Relative entropy is always positive and increasing with the system size. Interestingly, for two states which are infinitesimally different to each other, vanishing of relative entropy gives a powerful equation $\Delta S=\Delta H$ for the first order variation of the entanglement entropy $\Delta S$ and the expectation value of the \modu Hamiltonian $\Delta H$. We evaluate relative entropy between the vacuum and other states for spherical regions in the AdS/CFT framework. We check that the relevant equations and inequalities hold for a large class of states, giving a strong support to the holographic entropy formula. We elaborate on potential uses of the equation $\Delta S=\Delta H$ for vacuum state tomography and obtain modified versions of the Bekenstein bound.Comment: 75 pages, 3 figures, added reference

Multi-megawatt inverter/converter technology for space power applications

Large power conditioning mass reductions will be required to enable megawatt power systems envisioned by the Strategic Defense Initiative, the Air Force, and NASA. Phase 1 of a proposed two phase interagency program has been completed to develop an 0.1 kg/kW DC/DC converter technology base for these future space applications. Three contractors, Hughes, General Electric (GE), and Maxwell were Phase 1 contractors in a competitive program to develop a megawatt lightweight DC/DC converter. Researchers at NASA Lewis Research Center and the University of Wisconsin also investigated technology in topology and control. All three contractors, as well as the University of Wisconsin, concluded at the end of the Phase 1 study, which included some critical laboratory work, that 0.1-kg/kW megawatt DC/DC converters can be built. This is an order of magnitude lower specific weight than is presently available. A brief description of each of the concepts used to meet the ambitious goals of this program are presented

Clustering Analyses of 300,000 Photometrically Classified Quasars--II. The Excess on Very Small Scales

We study quasar clustering on small scales, modeling clustering amplitudes using halo-driven dark matter descriptions. From 91 pairs on scales <35 kpc/h, we detect only a slight excess in quasar clustering over our best-fit large-scale model. Integrated across all redshifts, the implied quasar bias is b_Q = 4.21+/-0.98 (b_Q = 3.93+/-0.71) at ~18 kpc/h (~28 kpc/h). Our best-fit (real-space) power index is ~-2 (i.e., $\xi(r) \propto r^{-2}$), implying steeper halo profiles than currently found in simulations. Alternatively, quasar binaries with separation <35 kpc/h may trace merging galaxies, with typical dynamical merger times t_d~(610+/-260)m^{-1/2} Myr/h, for quasars of host halo mass m x 10^{12} Msolar/h. We find UVX quasars at ~28 kpc/h cluster >5 times higher at z > 2, than at z < 2, at the $2.0\sigma$ level. However, as the space density of quasars declines as z increases, an excess of quasar binaries (over expectation) at z > 2 could be consistent with reduced merger rates at z > 2 for the galaxies forming UVX quasars. Comparing our clustering at ~28 kpc/h to a \xi(r)=(r/4.8\Mpch)^{-1.53} power-law, we find an upper limit on any excess of a factor of 4.3+/-1.3, which, noting some caveats, differs from large excesses recently measured for binary quasars, at $2.2\sigma$. We speculate that binary quasar surveys that are biased to z > 2 may find inflated clustering excesses when compared to models fit at z < 2. We provide details of 111 photometrically classified quasar pairs with separations <0.1'. Spectroscopy of these pairs could significantly constrain quasar dynamics in merging galaxies.Comment: 12pages, 3 figures, 2 tables; uses amulateapj; accepted to Ap