32,776 research outputs found
Optimal Hedging Strategies for the U.S. Cattle Feeder
Multiproduct optimal hedging is compared to alternative hedging strategies as applied to
a Midwestern cattle feeder. One-period feeding margin hedge ratios are estimated using
weekly cash and futures price data from a simulation of a custom feedlot for 1983 ??? 1995.
Hedge ratios are estimated using the last 4 years, 6 years, or all prior data available at the
moment of estimation; the ratios demonstrate less variability as the length of the
underlying sample increases. Hypothesis of all hedge ratios being equal to each other,
that leads to the proportional hedging model, is rejected. Means and variances of hedged
feeding margins using the computed hedge ratios suggest that there is no consistent
domination pattern among the alternative strategies. For the ratios computed based on all
prior data available, all strategies are on the efficient frontier, leaving the hedging
decision up to the agent???s degree of risk aversion. All hedging strategies are shown to
significantly reduce the feeding margin???s means and variances compared to no hedging,
with variance reduction always exceeding 50 percent. Whether a producer chooses
multiproduct, single-commodity, or proportional hedge ratios is sensitive to the dataset
and its size.published or submitted for publicationnot peer reviewe
OPTIMAL HEDGING STRATEGIES FOR THE U.S. CATTLE FEEDER
Multiproduct optimal hedging for simulated cattle feeding is compared to alternative hedging strategies using weekly price data for 1983-95. Out-of-sample means and variances of hedged feeding margins using estimated hedge ratios for four commodities suggest that there is no consistent domination pattern among the alternative strategies, leaving the hedging decision up to the agent's degree of risk aversion. However, all hedging strategies significantly reduce the feeding margin's means and variances compared to no hedging, with variance reduction always exceeding 50%. Hedging results appear quite sensitive to the data set and its size.cattle feeding, hedge ratios, hedging strategies, multiproduct hedging, optimal hedging, Marketing,
Composite CDMA - A statistical mechanics analysis
Code Division Multiple Access (CDMA) in which the spreading code assignment
to users contains a random element has recently become a cornerstone of CDMA
research. The random element in the construction is particular attractive as it
provides robustness and flexibility in utilising multi-access channels, whilst
not making significant sacrifices in terms of transmission power. Random codes
are generated from some ensemble, here we consider the possibility of combining
two standard paradigms, sparsely and densely spread codes, in a single
composite code ensemble. The composite code analysis includes a replica
symmetric calculation of performance in the large system limit, and
investigation of finite systems through a composite belief propagation
algorithm. A variety of codes are examined with a focus on the high
multi-access interference regime. In both the large size limit and finite
systems we demonstrate scenarios in which the composite code has typical
performance exceeding sparse and dense codes at equivalent signal to noise
ratio.Comment: 23 pages, 11 figures, Sigma Phi 2008 conference submission -
submitted to J.Stat.Mec
EFFECTS OF CHANGING ECONOMIC RELATIONSHIPS ON THE FED-BEEF PRODUCTION/DISTRIBUTION SYSTEM
Agribusiness,
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