![Provisional liquidation of futures hedge programs [An article from: Energy Economics]](http://ecx.images-amazon.com/images/I/51XE4H7KWXL.jpg)
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This digital document is a journal article from Energy Economics, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
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Frequently a firm sets a capital allowance for its risk management program such that early liquidation is dictated when the loss from the derivative position exceeds the allowance. Using a two-period framework, we show that the early liquidation decision is supported when futures returns exhibit positive first-order autocorrelation. An empirical study concerning natural gas acquisition of a local distribution company (LDC) demonstrates possibilities of early liquidation underlying optimal hedge policies.
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