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RELAXING THE ASSUMPTIONS OF MINIMUM-VARIANCE HEDGING

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References

1979The Hedging Performance of the New Futures Markets1,566 cited
1979Approximating Expected Utility by a Function of Mean and Variance874 cited
1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
1984Mean-Variance Versus Direct Utility Maximization527 cited
1971A Linear Alternative to Quadratic and Semivariance Programming for Farm Planning under Uncertainty439 cited
1989Generalized Optimal Hedge Ratio Estimation381 cited
1981A General Mean-Variance Approximation to Expected Utility for Short Holding Periods146 cited
1983Optimal hedging in the futures market under price uncertainty103 cited

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2010A Century of Research on Agricultural Markets85 cited
2015Commodity futures hedging, risk aversion and the hedging horizon59 cited
2001The Demand for Hedging with Futures and Options29 cited
2016Time-varying copula models in the shipping derivatives market29 cited
2000Cost of Forward Contracting Hard Red Winter Wheat28 cited
2006Relaxing standard hedging assumptions in the presence of downside risk25 cited
2000Optimal hedging under nonlinear borrowing cost, progressive tax rates, and liquidity constraints

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24 cited

2009Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”?23 cited

2009Hedging and Optimal Hedge Ratios for International Index Futures Markets23 cited

2005Optimal Hedging with a Subjective View: An Empirical Bayesian Approach18 cited

2006Probability Distortion and Loss Aversion in Futures Hedging2 cited

2013Assessing marketing and aid strategies to stimulate economic growth in sub-Saharan Africa0 cited