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| 001 |
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| 005 |
20200904152406.0 |
| 008 |
880716s1987 xx a bm 000 0 eng d |
| 035 |
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|a (OCoLC)ocm18228272
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| 035 |
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|9 AAB3527AM
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| 040 |
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|a TXA
|b eng
|c TXA
|d OCLCQ
|d OCLCF
|d OCLCO
|d OCLCQ
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|d TXA
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| 035 |
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|a (OCoLC)18228272
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|a n-us-tx
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| 049 |
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|a TXAM
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| 099 |
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|a 1987
|a Dissertation
|a G371
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| 100 |
1 |
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|a Gerlow, Mary.
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| 245 |
1 |
4 |
|a The value of forecasts in optimal portfolio short hedging of fed cattle.
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| 264 |
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1 |
|c 1987.
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| 300 |
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|a xvi, 260 leaves :
|b illustrations ;
|c 29 cm
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
|
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|a unmediated
|b n
|2 rdamedia
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| 338 |
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|a volume
|b nc
|2 rdacarrier
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| 500 |
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|a Typescript (photocopy).
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| 502 |
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|b Ph. D. in Agricultural Economics
|c Texas A & M University
|d 1987
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| 500 |
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|a Vita.
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| 504 |
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|a Includes bibliographical references (leaves 237-244).
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| 520 |
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|a A major problem for Texas cattle feeders is price uncertainty in the output market. This research evaluates the performance of selected private price forecasts in management of price uncertainty. Three information environments are examined. Within each environment four strategies may be used either individually or in combination: cash sales, short futures, long put options, and short call options. Each forecasting model was estimated using monthly data from the period 1978-1983 and evaluated as to its forecasting ability over an out-of-sample period 1984-1985. These forecasts were either a direct estimation of Amarillo cash prices or involved modeling the local Amarillo closing basis and estimating cash prices indirectly. Of these, a restricted vector autoregressive model was chosen to generate direct cash price forecasts for the Amarillo market. A quadratic programming model derived optimal combinations of the available hedging instruments and cash sales which maximized total net returns to the cattle feeder subject to an acceptable level of variability upon those returns. The difference between the returns resulting from the various information environments were obtained and analyzed. Return streams were analyzed using stochastic dominance criteria. The difference itself was an ex post measure of price forecast information value and it represents ability of cattle feeders to pay for private price forecast information. In all cases the value was positive and significantly different from zero. However, it did not prove sensitive to the risk aversion parameter chosen. The results indicate that, for the out-of-sample period, the mean net return from cash sales alone was $0.02 per cwt with a coefficient of variation of 1.13. The use of past performance information to generate an optimal portfolio led to both an increased mean net return of $0.57 per cwt with an increased coefficient of variation of 6.51. However, by utilizing both forecast information and past performance information, the mean net return rose to $7.81 per cwt accompanied by a lower coefficient of variation of 0.47. Thus, a cattle feeder would be able to pay $7.24 per cwt for this information and earn the same level of net returns attainable with its use.
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| 650 |
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0 |
|a Cattle
|x Feeding and feeds
|x Economic aspects
|z Texas.
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| 650 |
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0 |
|a Agricultural prices
|x Forecasting
|x Mathematical models.
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| 650 |
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0 |
|a Hedging (Finance)
|x Mathematical models.
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| 650 |
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4 |
|a Major agricultural economics.
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| 655 |
|
7 |
|a Academic theses
|2 lcgft
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| 700 |
1 |
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|a Sporleder, Thomas L.,
|e degree supervisor.
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| 700 |
1 |
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|a Bessler, David A.,
|e degree committee member.
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| 700 |
1 |
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|a Goodwin, Harold L.,
|e degree committee member.
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| 700 |
1 |
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|a Wiggins, Steven N.,
|e degree committee member.
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| 710 |
2 |
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|a Texas A & M University,
|e degree granting institution.
|
| 856 |
4 |
1 |
|x http://hdl.handle.net/1969.1/DISSERTATIONS-27016
|z Link to OAKTrust copy
|t 0
|
| 856 |
4 |
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|u http://proxy.library.tamu.edu/login?url=http://proquest.umi.com/pqdweb?did=754008101&sid=1&Fmt=2&clientId=2945&RQT=309&VName=PQD
|z Link to OAKTrust copy
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| 952 |
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|a Texas A&M University
|b J.J. Pickle Campus
|c High Density Repository
|s HDR
|d Remote Storage
|t 0
|e 1987 Dissertation G371
|h Other scheme
|i unmediated -- volume
|m A14839627454
|
| 952 |
f |
f |
|a Texas A&M University
|b College Station
|c Electronic Resources
|s www_evans
|d Available Online
|t 0
|e 1987 Dissertation G371
|h Other scheme
|
| 998 |
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f |
|a 1987 Dissertation G371
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