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The Semivariance-Minimizing Hedge Ratio
16 references·2 citing·44 second hop
The Semivariance-Minimizing Hedge Ratio (2003)The Semivariance-Minimizing Hedge RatioSemivariance and Stochastic Dominance: A Comparison (2016)Semivariance and Stochastic D…Asset storability and price discovery in commodity futures markets: A new look (2001)Asset storability and price d…Hedging downside risk with futures contracts (2000)Hedging downside risk with fu…Hedging time-varying downside risk (1998)Hedging time-varying downside…Portfolio Selection, Efficient Diversification of Investments. By Harry M. Markowitz (Basil Blackwell, 1991) £25.00 (1992)Portfolio Selection, Efficien…The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)The Rationale of the Mean-Sta…Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …The Rationale of the Mean-Standard Deviation Analysis: Comment (1974)The Rationale of the Mean-Sta…Computation of the Efficient Boundary in the E-S Portfolio Selection Model (1972)Computation of the Efficient …The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…Models of Capital Budgeting, E-V Vs E-S (1970)Models of Capital Budgeting, …Admissibility and Measurable Utility Functions (1962)Admissibility and Measurable …Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…The Introduction of Risk into a Programming Model (1956)The Introduction of Risk into…Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”? (2009)Dealing with downside risk in…Relaxing standard hedging assumptions in the presence of downside risk (2006)Relaxing standard hedging ass…PORTFOLIO SELECTION* (1952)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)THE DEMAND FOR RISKY ASSETS (1977)Approximating Expected Utility by a Function of Mean and Variance (1979)Liquidity Preference as Behavior Towards Risk (1958)An Expected Gain-Confidence Limit Criterion for Portfolio Selection (1963)LEVERAGE, RISK OF RUIN AND THE COST OF CAPITAL* (1967)Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results (1982)Modeling the bid/ask spread: measuring the inventory-holding premium (2003)A Note on Uncertainty and Indifference Curves (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Systemic Risk and International Portfolio Choice (2004)Optimal Portfolio Allocation under Higher Moments (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The effect of estimation risk on optimal portfolio choice (1976)Capital market equilibrium in a mean-lower partial moment framework (1977)Theory of games and economic behavior (2019)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)DOWNSIDE RISK IMPLICATIONS OF MULTINATIONALITY AND INTERNATIONAL JOINT VENTURES. (2000)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)ESG shareholder engagement and downside risk (2023)The Utility Analysis of Choices Involving Risk (1948)Alternative Approaches to the Theory of Choice in Risk-Taking Situations (1951)Comparison of Alternative Utility Functions in Portfolio Selection Problems (1983)Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming (1986)Operations Research Models and the Management of Agricultural and Forestry Resources: A Review and Comparison (2006)Aspects of the Theory of Risk-Bearing. (1966)Time-inconsistent Preferences and Consumer Self-Control (1991)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Acyclic Graphs (2003)Modelling and measuring price discovery in commodity markets (2010)Contemporaneous causality among price indices of ten major steel products (2024)Chapter 2 Measurement of inequality (2000)Lectures on Stochastic Programming: Modeling and Theory (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)
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References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1956The Introduction of Risk into a Programming Model614 cited
  • 1962Admissibility and Measurable Utility Functions559 cited
  • 1989Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence480 cited
  • 1989The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money349 cited
  • 2001Asset storability and price discovery in commodity futures markets: A new look224 cited
  • 1970Models of Capital Budgeting, E-V Vs E-S197 cited
  • 2016Semivariance and Stochastic Dominance: A Comparison155 cited
  • 1992Portfolio Selection, Efficient Diversification of Investments. By Harry M. Markowitz (Basil Blackwell, 1991) £25.00142 cited
  • 1972Computation of the Efficient Boundary in the E-S Portfolio Selection Model136 cited
  • 1998Hedging time-varying downside risk103 cited
  • 2000Hedging downside risk with futures contracts

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97 cited
  • 1974The Rationale of the Mean-Standard Deviation Analysis: Comment71 cited
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    • 2006Relaxing standard hedging assumptions in the presence of downside risk25 cited
    • 2009Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”?23 cited