Optimal Hedging Horizon for a Hog Feeding Spread (Crush) Margin

摘要

The goals of this thesis are to a) develop a graphical and mathematical analysis of an optimal hedging horizon for lean hog feeding spread, b) develop a mathematical model depicting an ideal hedging horizon for a lean hog feeding spread, and c) derive implications of the model for improving lean hog spread hedging effectiveness.;Chapter one encompasses previous research and a thesis overview.;Chapter two creates the framework for creating a lean hog input spread and examines optimal horizons for each input.;Chapter three utilizes the framework in chapter two and develops an extensive model that compares the hedging effectiveness of different horizon lengths.;Chapter four analyzes possible implications of the model on hedging effectiveness following a shock to hedging inputs.;Chapter five summarizes the results and discusses the implications of the model on hedging effectiveness.