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The impact of skewness in the hedging decision
16 references·1 citing·45 second hop
The impact of skewness in the hedging decision (2006)The impact of skewness in the hedging dec…Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets (2002)Equilibrium Pricing and Optim…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Skewness Preference and Portfolio Choice (1982)Skewness Preference and Portf…On Diversification Given Asymmetry in Returns (1981)On Diversification Given Asym…Cross Hedging (1981)Cross HedgingRisk and Return in Commodity Futures (1980)Risk and Return in Commodity …Futures Markets and the Theory of the Firm Under Price Uncertainty (1980)Futures Markets and the Theor…Hedging and the Competitive Firm under Price Uncertainty (1979)Hedging and the Competitive F…Information, futures prices, and stabilizing speculation (1978)Information, futures prices, …Diversification in a Three-Moment World (1978)Diversification in a Three-Mo…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…On the theory of the competitive firm under price uncertainty (1971)On the theory of the competit…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…Price Uncertainty, Utility, and Industry Equilibrium in Pure Competition (1970)Price Uncertainty, Utility, a…RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …Optimal futures heading: Quadratic versus exponential utility functions (2007)Optimal futures heading: Quad…Risk Aversion in the Small and in the Large (1976)Managerial Risk Preferences for Below-Target Returns (1980)International trade and exchange rate volatility (1992)Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)Expectations and the neutrality of money (1972)ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION (1976)Asset Prices in an Exchange Economy (1978)Further results on the informational efficiency of competitive stock markets (1978)Asset Valuation in an Experimental Market (1982)International Commodity Agreements: An obituary notice (1996)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Systemic Risk and International Portfolio Choice (2004)Optimal Portfolio Allocation under Higher Moments (2006)A Treatise on Money (1971)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward and spot exchange rates (1984)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)What do we learn from the price of crude oil futures? (2010)Financialization of Commodity Markets (2013)The Determinants of Firms' Hedging Policies (1985)Managerial discretion and optimal financing policies (1990)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Measuring Duopoly Power in the British Electricity Spot Market (1999)A spot market model for pricing derivatives in electricity markets (2004)Limits to arbitrage and hedging: Evidence from commodity markets (2013)Stochastic specification of production functions and economic implications (1978)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Rising Food Prices, Food Price Volatility, and Social Unrest (2014)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Tactical allocation in commodity futures markets: Combining momentum and term structure signals (2010)Should investors include commodities in their portfolios after all? New evidence (2011)Portfolio selection and skewness: Evidence from international stock markets (1997)Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)
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References

  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1971On the theory of the competitive firm under price uncertainty1,450 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 2002Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets726 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 1980Risk and Return in Commodity Futures416 cited
  • 1978Information, futures prices, and stabilizing speculation391 cited
  • 1979Hedging and the Competitive Firm under Price Uncertainty390 cited
  • 1978Diversification in a Three-Moment World284 cited
  • 1981Cross Hedging283 cited
  • 1980Futures Markets and the Theory of the Firm Under Price Uncertainty267 cited
  • 1970Price Uncertainty, Utility, and Industry Equilibrium in Pure Competition267 cited
  • 1982Skewness Preference and Portfolio Choice177 cited
  • 1981

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On Diversification Given Asymmetry in Returns
142 cited

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  • 2007Optimal futures heading: Quadratic versus exponential utility functions14 cited