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An intertemporal measure of hedging effectiveness
16 references·0 citing·37 second hop
An intertemporal measure of hedging effectiveness (1990)An intertemporal measure of hedging effec…On the Optimal Hedge of a Nontraded Cash Position (1988)On the Optimal Hedge of a Non…Transaction Data Tests of the Mixture of Distributions Hypothesis (1987)Transaction Data Tests of the…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Optimal Hedging Policies (1984)Optimal Hedging PoliciesModels of Stock Returns--A Comparison (1984)Models of Stock Returns--A Co…Futures markets and commodity options: Hedging and optimality in incomplete markets (1984)Futures markets and commodity…A Risk-Return Measure of Hedging Effectiveness (1984)A Risk-Return Measure of Hedg…A Simplified Jump Process for Common Stock Returns (1983)A Simplified Jump Process for…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…The pricing of commodity contracts (1976)The pricing of commodity cont…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Determinants of Firms' Hedging Policies (1985)The theory of financial intermediation (1997)The dark side of diversification: The case of US financial holding companies (2005)CEOs versus CFOs: Incentives and corporate policies (2010)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)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)The Analysis of Economic Time-Series-Part I: Prices (1953)The variation of certain speculative prices (1997)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)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)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)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

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1984Optimal Hedging Policies939 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 1984Models of Stock Returns--A Comparison606 cited
  • 1987Transaction Data Tests of the Mixture of Distributions Hypothesis321 cited
  • 1983A Simplified Jump Process for Common Stock Returns279 cited
  • 1984A Risk-Return Measure of Hedging Effectiveness177 cited
  • 1984Futures markets and commodity options: Hedging and optimality in incomplete markets90 cited
  • 1988

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On the Optimal Hedge of a Nontraded Cash Position
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