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Uncertainty and Exhaustible Resource Markets
4 references·16 citing·45 second hop
Uncertainty and Exhaustible Resource Markets (1980)Uncertainty and Exhaustible Resource Mark…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …The Economics of Exhaustible Resources (1931)The Economics of Exhaustible …How much impact will low oil price and carbon trading mechanism have on the value of carbon capture utilization and storage (CCUS) project? Analysis based on real option method (2021)How much impact will low oil …What drives commodity price booms and busts? (2018)What drives commodity price b…Does the volatility of commodity prices reflect macroeconomic uncertainty? (2017)Does the volatility of commod…150 YEARS OF BOOM AND BUST: WHAT DRIVES MINERAL COMMODITY PRICES? (2016)150 YEARS OF BOOM AND BUST: W…Commodity Booms and Busts (2010)Commodity Booms and BustsAggressive oil extraction and precautionary saving: Coping with volatility (2010)Aggressive oil extraction and…Whither Hotelling: Tests of the Theory of Exhaustible Resources (2009)Whither Hotelling: Tests of t…Non-renewable resource prices: Deterministic or stochastic trends? (2006)Non-renewable resource prices…When Are Real Options Exercised? An Empirical Study of Mine Closings (2002)When Are Real Options Exercis…Classic Papers in Natural Resource Economics (2000)Classic Papers in Natural Res…The impact of gold price on the value of gold mining stock (1995)The impact of gold price on t…Backwardation in Oil Futures Markets: Theory and Empirical Evidence (1995)Backwardation in Oil Futures …Anticipated competitive entry and early preemptive investment in deferrable projects (1991)Anticipated competitive entry…Uncertainty in the Theory of Renewable Resource Markets (1984)Uncertainty in the Theory of …Optimal Sequential Investment When Capital is Not Readily Reversible (1982)Optimal Sequential Investment…Adjustment Costs, Uncertainty, and the Behavior of the Firm (1982)Adjustment Costs, Uncertainty…Saving and Uncertainty: The Precautionary Demand for Saving (1968)On the theory of the competitive firm under price uncertainty (1971)Price adjustment process for rental office space (1987)Job security regulations and the dynamic demand for industrial labor in India and Zimbabwe (1993)Investment under alternative return assumptions Comparing random walks and mean reversion (1995)Impulse response analysis in nonlinear multivariate models (1996)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)The Impact of Uncertainty Shocks (2009)The impact of geopolitical uncertainty on energy volatility (2021)The realized volatility of commodity futures: Interconnectedness and determinants (2021)Economic Consequences and Implications of the Ukraine-Russia War (2022)Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Investment Under Uncertainty (1971)Optimal harvesting under resource stock and price uncertainty (2006)Sharing risk through concession contracts (2010)The Elephant In The Ground: Managing Oil And Sovereign Wealth (2015)Theory of Rational Option Pricing (1973)The pricing of commodity contracts (1976)VOLATILITY IN NATURAL GAS AND OIL MARKETS (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Rational Expectations and the Theory of Price Movements (1961)Expectations and Exchange Rate Dynamics (1976)Increasing Returns and Long-Run Growth (1986)Global Biofuels: Key to the Puzzle of Grain Market Behavior (2014)The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies (2016)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)Limited-dependent and qualitative variables in econometrics (1983)Real options and preemption under incomplete information (2002)Real options, irreversible investment and firm uncertainty: New evidence from U.S. firms (2005)The financial economics of gold — A survey (2015)Balanced-budget redistribution as the outcome of political competition (1987)Understanding Crude Oil Prices (2008)RCP4.5: a pathway for stabilization of radiative forcing by 2100 (2011)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1931The Economics of Exhaustible Resources4,535 cited

Cited by

  • 2002When Are Real Options Exercised? An Empirical Study of Mine Closings324 cited
  • 1995Backwardation in Oil Futures Markets: Theory and Empirical Evidence236 cited
  • 1984Uncertainty in the Theory of Renewable Resource Markets206 cited
  • 1982Adjustment Costs, Uncertainty, and the Behavior of the Firm194 cited
  • 2017Does the volatility of commodity prices reflect macroeconomic uncertainty?190 cited
  • 2010Commodity Booms and Busts177 cited
  • 2006Non-renewable resource prices: Deterministic or stochastic trends?156 cited
  • 2000Classic Papers in Natural Resource Economics145 cited
  • 2021How much impact will low oil price and carbon trading mechanism have on the value of carbon capture utilization and storage (CCUS) project? Analysis based on real option method130 cited
  • 2010Aggressive oil extraction and precautionary saving: Coping with volatility129 cited
  • 2018

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What drives commodity price booms and busts?
122 cited
  • 1995The impact of gold price on the value of gold mining stock119 cited
  • 1991Anticipated competitive entry and early preemptive investment in deferrable projects119 cited
  • 2016150 YEARS OF BOOM AND BUST: WHAT DRIVES MINERAL COMMODITY PRICES?110 cited
  • 1982Optimal Sequential Investment When Capital is Not Readily Reversible107 cited
  • 2009Whither Hotelling: Tests of the Theory of Exhaustible Resources98 cited