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Relaxing standard hedging assumptions in the presence of downside risk
16 references·2 citing·48 second hop
Relaxing standard hedging assumptions in the presence of downside risk (2006)Relaxing standard hedging assumptions in …Two-Moment Decision Models and Expected Utility Maximization (2016)Two-Moment Decision Models an…A selected review of agricultural commodity futures and options markets (2004)A selected review of agricult…The Semivariance-Minimizing Hedge Ratio (2003)The Semivariance-Minimizing H…Futures hedge ratios: a review (2003)Futures hedge ratios: a reviewDownside risk for short and long hedgers (2003)Downside risk for short and l…Some Recent Developments in Futures Hedging (2002)Some Recent Developments in F…On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio (2001)On a Mean—Generalized Semivar…Hedging downside risk: futures vs. options (2001)Hedging downside risk: future…Lower partial moments as measures of perceived risk: An experimental study (2000)Lower partial moments as meas…Hedging downside risk with futures contracts (2000)Hedging downside risk with fu…Variance vs downside risk: Is there really that much difference? (1999)Variance vs downside risk: Is…Risk Vulnerability and the Tempering Effect of Background Risk (1996)Risk Vulnerability and the Te…RELAXING THE ASSUMPTIONS OF MINIMUM-VARIANCE HEDGING (1996)RELAXING THE ASSUMPTIONS OF M…Economic Decisions Under Uncertainty (1989)Economic Decisions Under Unce…A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Assessing marketing and aid strategies to stimulate economic growth in sub-Saharan Africa (2013)Assessing marketing and aid s…Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”? (2009)Dealing with downside risk in…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Effectiveness of Minimum-Variance Hedging (2007)Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010)PORTFOLIO SELECTION* (1952)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Shortfall as a risk measure: properties, optimization and applications (2003)Fuzzy portfolio optimization under downside risk measures (2006)Mean-semivariance models for fuzzy portfolio selection (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The specification of conditional expectations (2001)Optimal Portfolio Allocation under Higher Moments (2006)Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Precautionary Saving in the Small and in the Large (1989)Strategic Asset Allocation (2002)Risk Aversion in the Laboratory (2008)Risk-Taking Behavior in the Wake of Natural Disasters (2012)The Framing of Decisions and the Psychology of Choice (1981)Status quo bias in decision making (1988)The risk perceptions of individual investors (2007)What Drives Risk Perception? A Global Survey with Financial Professionals and Laypeople (2020)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On the Impossibility of Informationally Efficient Markets (1980)Efficient Capital Markets: II (1991)Pre‐Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures (2008)Quantifying the WASDE Announcement Effect (2012)Agricultural commodity futures prices prediction via long- and short-term time series network (2019)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)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)Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004)A Markov regime switching approach for hedging energy commodities (2008)Social Insurance, Incentives and Risk-Taking (1998)Evaluation and Decision Models: a Critical Perspective (2002)Preferences over location-scale family (2007)A Theory of the Welfare State (1994)What You Don't Know About Customer-Perceived Quality: The Role of Customer Expectation Distributions (1999)Ex Post Liability for Harm vs. Ex Ante Safety Regulation: Substitutes or Complements? (2018)
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References

  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1996Risk Vulnerability and the Tempering Effect of Background Risk765 cited
  • 2016Two-Moment Decision Models and Expected Utility Maximization590 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 1999Variance vs downside risk: Is there really that much difference?281 cited
  • 2002Some Recent Developments in Futures Hedging229 cited
  • 2003Futures hedge ratios: a review200 cited
  • 1989Economic Decisions Under Uncertainty188 cited
  • 2000Lower partial moments as measures of perceived risk: An experimental study147 cited
  • 2004A selected review of agricultural commodity futures and options markets128 cited
  • 2000Hedging downside risk with futures contracts97 cited
  • 1996RELAXING THE ASSUMPTIONS OF MINIMUM-VARIANCE HEDGING79 cited
  • 2001On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio58 cited
  • 2001Hedging downside risk: futures vs. options55 cited
  • 2003Downside risk for short and long hedgers40 cited
  • 2003

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The Semivariance-Minimizing Hedge Ratio
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  • 2009Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”?23 cited
  • 2013Assessing marketing and aid strategies to stimulate economic growth in sub-Saharan Africa0 cited