A state-space forecasting approach to optimal intertemporal cross-hedging

Article examines cross-commodity hedging between fishmeal and soybean meal. The approach uses a dynamic hedging model based on state-space time-series price forcasts to compare model performance with cash marketing and static hedging. Findings indicate that weakly risk-adverse agents can increase marketing returns to within acceptable risk levels by combining information gained from price forcasting models with an appropriate hedging plan of action.