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



  • Thesis (M.S., Agricultural Economics and Rural Sociology (Applied Economics)) -- University of Idaho, 2017 | 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.

publication date

  • June 1, 2017