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Price‐risk management with options: Optimal market positions and institutional value
16 references·0 citing·42 second hop
Price‐risk management with options: Optimal market positions and institutional value (1991)Price‐risk management with options: Optim…Two-Moment Decision Models and Expected Utility Maximization (2016)Two-Moment Decision Models an…Response Surfaces: Designs and Analyses (1997)Response Surfaces: Designs an…Response Surfaces: Designs and Analyses. (1988)Response Surfaces: Designs an…The competitive firm's response to risk (1987)The competitive firm's respon…Valuation of American Futures Options: Theory and Empirical Tests (1986)Valuation of American Futures…Hedger Diversity in Futures Markets (1983)Hedger Diversity in Futures M…Commodity Price Forecasting with Large‐Scale Econometric Models and the Futures Market (1981)Commodity Price Forecasting w…An Interval Approach to Measuring Decision Maker Preferences (1981)An Interval Approach to Measu…The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…The Simultaneous Determination of Spot and Futures Prices (1976)The Simultaneous Determinatio…Option pricing (1976)Option pricingThe Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Survey of current business (1921)Survey of current businessEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Martingales and stochastic integrals in the theory of continuous trading (1981)Theory of Financial Decision Making. (1988)Statistics for experimenters. An introduction to design, data analysis, and model building. (1978)Empirical Model Building and Response Surfaces (1988)A new look at the response surface approach for reliability analysis (1993)ON THE USE OF POLYNOMIAL REGRESSION EQUATIONS AS AN ALTERNATIVE TO DIFFERENCE SCORES IN ORGANIZATIONAL RESEARCH. (1993)Response Surface Methodology: Process and Product Optimization Using Designed Experiments (1996)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Portfolio Selection: Efficient Diversification of Investments (1959)General Proof that Diversification Pays (1967)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Prices vs. Quantities (1974)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Prices of State-Contingent Claims Implicit in Option Prices (1978)Modeling and pricing long memory in stock market volatility (1996)Futures Trading and the Storage of Cotton and Wheat (1958)Hedging with stock index futures: Estimation and forecasting with error correction model (1993)Some Recent Developments in Futures Hedging (2002)Modelling and measuring price discovery in commodity markets (2010)Review of Economic Studies (2010)American Economic Review (2019)STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY (1981)The relationship between return and market value of common stocks (1981)Capital-skill Complementarity and Inequality: A Macroeconomic Analysis (2000)Wealth, Weather Risk and the Composition and Profitability of Agricultural Investments (1993)A Theory of the Welfare State (1994)What You Don't Know About Customer-Perceived Quality: The Role of Customer Expectation Distributions (1999)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Hedging and the Competitive Firm under Price Uncertainty (1979)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)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)On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)Crude oil hedging strategies using dynamic multivariate GARCH (2011)The hedging effect of green bonds on carbon market risk (2020)
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References

  • 1958Liquidity Preference as Behavior Towards Risk3,990 cited
  • 1921Survey of current business2,208 cited
  • 1997Response Surfaces: Designs and Analyses1,524 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 2016Two-Moment Decision Models and Expected Utility Maximization590 cited
  • 1979The Pricing of Contingent Claims in Discrete Time Models546 cited
  • 1976Option pricing474 cited
  • 1976The Simultaneous Determination of Spot and Futures Prices414 cited
  • 1987The competitive firm's response to risk396 cited
  • 1988Response Surfaces: Designs and Analyses.215 cited
  • 1986Valuation of American Futures Options: Theory and Empirical Tests175 cited
  • 1981Commodity Price Forecasting with Large‐Scale Econometric Models and the Futures Market174 cited
  • 1983Hedger Diversity in Futures Markets139 cited
  • 1981An Interval Approach to Measuring Decision Maker Preferences

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