SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A portfolio approach to optimal hedging for a commercial cattle feedlot
7 references·10 citing·38 second hop
A portfolio approach to optimal hedging for a commercial cattle feedlot (1987)A portfolio approach to optimal hedging f…Cross Hedging (1981)Cross HedgingA Risk‐Programming Analysis of Forward Contracting with Credit Constraints (1976)A Risk‐Programming Analysis o…Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …The Market Price of Risk, Size of Market and Investor's Risk Aversion (1970)The Market Price of Risk, Siz…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Systematic Risk in Agriculture: A Case of Slovakia (2014)Systematic Risk in Agricultur…Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”? (2009)Dealing with downside risk in…Applying Operations Research Techniques to Financial Markets (2003)Applying Operations Research …Market risk and the cattle feeding margin: An application of Value‐at‐Risk (2001)Market risk and the cattle fe…The risk management effectiveness of multivariate hedging models in the U.S. soy complex (2000)The risk management effective…Value‐at‐Risk Analysis: A Review and the Potential for Agricultural Applications (1999)Value‐at‐Risk Analysis: A Rev…Agricultural Applications of Value-at-Risk Analysis: A Perspective (1998)Agricultural Applications of …Simultaneously determined, time-varying hedge ratios in the soybean complex (1995)Simultaneously determined, ti…Optimal Hedging under Alternative Capital Structures and Risk Aversion: Reply (1992)Optimal Hedging under Alterna…Hedge ratios under inherent risk reduction in a commodity complex (1990)Hedge ratios under inherent r…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)Risk, Return, and Equilibrium: Empirical Tests (1973)Hedging Pressure Effects in Futures Markets (2000)Momentum strategies in commodity futures markets (2007)Financialization in commodity markets: A passing trend or the new normal? (2015)Generalized Optimal Hedge Ratio Estimation (1989)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Bivariate garch estimation of the optimal commodity futures Hedge (1991)The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models (2001)A note on the hedging effectiveness of GARCH models (2007)FRENCH MUTUAL FUND PERFORMANCE: EVALUATION OF INTERNATIONALLY‐DIVERSIFIED PORTFOLIOS (1973)On the optimality of international capital market integration (1975)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 UTILITY THEORETIC FOUNDATIONS OF MEAN‐VARIANCE ANALYSIS (1977)Liquidity Preference as Behavior Towards Risk (1958)Nonlinear and Dynamic Programming (1966)Portfolio Theory and Capital Markets. (1972)Chapter 10 Agricultural finance: Credit, credit constraints, and consequences (2001)Utilising portfolio theory in environmental research – New perspectives and considerations (2018)ARCH modeling in finance (1992)Value at risk: the new benchmark for controlling market risk (1996)An Overview of Value at Risk (1997)The Role of Value‐at‐Risk in Purchasing: An Application to the Foodservice Industry (2002)Optimization algorithms and investment portfolio analytics with machine learning techniques under time-varying liquidity constraints (2021)The Econometrics of Financial Markets (1997)Using extreme value theory to estimate value‐at‐risk (2002)Optimal commodity asset allocation with a coherent market risk modeling (2012)The Econometrics of Financial Markets (2012)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Hedging Performance and Basis Risk in Stock Index Futures (1984)Estimating time‐varying optimal hedge ratios on futures markets (1991)Currency Hedging for International Portfolios (1993)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited
  • 1981Cross Hedging283 cited
  • 1970The Market Price of Risk, Size of Market and Investor's Risk Aversion91 cited
  • 1976A Risk‐Programming Analysis of Forward Contracting with Credit Constraints63 cited

Cited by

  • 1999Value‐at‐Risk Analysis: A Review and the Potential for Agricultural Applications58 cited
  • 1995Simultaneously determined, time-varying hedge ratios in the soybean complex53 cited
  • 2001Market risk and the cattle feeding margin: An application of Value‐at‐Risk41 cited
  • 1990Hedge ratios under inherent risk reduction in a commodity complex39 cited
  • 1992Optimal Hedging under Alternative Capital Structures and Risk Aversion: Reply36 cited
  • 2003Applying Operations Research Techniques to Financial Markets35 cited
  • 2000The risk management effectiveness of multivariate hedging models in the U.S. soy complex34 cited
  • 2009Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”?

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

23 cited
  • 1998Agricultural Applications of Value-at-Risk Analysis: A Perspective20 cited
  • 2014Systematic Risk in Agriculture: A Case of Slovakia12 cited