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Optimal hedging and equilibrium in a dynamic futures market
12 references·13 citing·44 second hop
Optimal hedging and equilibrium in a dynamic futures market (1990)Optimal hedging and equilibrium in a dyna…Stochastic Differential Equations (2003)Stochastic Differential Equat…Mean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…On the Optimal Hedge of a Nontraded Cash Position (1988)On the Optimal Hedge of a Non…Intertemporal Commodity Futures Hedging and the Production Decision (1984)Intertemporal Commodity Futur…The Time Pattern of Hedging and the Volatility of Futures Prices (1983)The Time Pattern of Hedging a…Hedger Diversity in Futures Markets (1983)Hedger Diversity in Futures M…Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis (1981)Futures Trading, Rational Exp…Cross Hedging (1981)Cross HedgingForward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesSpot rates, forward rates and exchange market efficiency (1977)Spot rates, forward rates and…Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield (2015)Dynamic speculation and hedgi…Managing risk in multi-asset class, multimarket central counterparties: The CORE approach (2014)Managing risk in multi-asset …Equilibrium in securities markets with heterogeneous investors and unspanned income risk (2012)Equilibrium in securities mar…Dynamic Hedging in Incomplete Markets: A Simple Solution (2012)Dynamic Hedging in Incomplete…Dynamic Hedging in Incomplete Markets: A Simple Solution (2008)Dynamic Hedging in Incomplete…Dynamic Asset Allocation (2003)Dynamic Asset AllocationOptimal currency risk hedging (2002)Optimal currency risk hedgingThe Minimum Variance Hedge Ratio Under Stochastic Interest Rates (2000)The Minimum Variance Hedge Ra…Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model (1997)Pricing and Hedging Derivativ…Metallgesellschaft: A prudent hedger ruined, or a wildcatter on NYMEX? (1997)Metallgesellschaft: A prudent…Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth (1996)Optimal hedging in a dynamic …Optimal Dynamic Hedging in Unbiased Futures Markets (1996)Optimal Dynamic Hedging in Un…Portfolio Choice and Asset Pricing With Nontraded Assets (1988)Portfolio Choice and Asset Pr…An Intertemporal Capital Asset Pricing Model (1973)Hedging and the Competitive Firm under Price Uncertainty (1979)Some determinants of the volatility of futures prices (1985)Equilibrium Forward Curves for Commodities (2000)Some Recent Developments in Futures Hedging (2002)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)The Supply of Storage (1976)Information, futures prices, and stabilizing speculation (1978)Risk, Futures Pricing, and the Organization of Production in Commodity Markets (1988)Softening competition through forward trading (2003)Limits to Arbitrage and Hedging: Evidence from Commodity Markets (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION (1976)Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices (1979)Commodity Booms and Busts (2010)Informational Frictions and Commodity Markets (2015)Commodity Financialization and Information Transmission (2022)A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence (1976)A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium (1981)Econometric tests of rationality and market efficiency (1989)Every minute counts in financial markets (1991)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Variance-Optimal Hedging in Discrete Time (1995)A solution approach to valuation with unhedgeable risks (2001)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)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

  • 2003Stochastic Differential Equations2,978 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 1981Cross Hedging283 cited
  • 1983The Time Pattern of Hedging and the Volatility of Futures Prices226 cited
  • 1977Spot rates, forward rates and exchange market efficiency195 cited
  • 1981Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis143 cited
  • 1983Hedger Diversity in Futures Markets139 cited
  • 1988On the Optimal Hedge of a Nontraded Cash Position81 cited
  • 1984Intertemporal Commodity Futures Hedging and the Production Decision70 cited

Cited by

  • 2012Dynamic Hedging in Incomplete Markets: A Simple Solution47 cited
  • 1997Metallgesellschaft: A prudent hedger ruined, or a wildcatter on NYMEX?40 cited
  • 1996Optimal Dynamic Hedging in Unbiased Futures Markets37 cited

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2012
Equilibrium in securities markets with heterogeneous investors and unspanned income risk
35 cited
  • 2008Dynamic Hedging in Incomplete Markets: A Simple Solution27 cited
  • 2003Dynamic Asset Allocation23 cited
  • 2014Managing risk in multi-asset class, multimarket central counterparties: The CORE approach23 cited
  • 2015Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield22 cited
  • 1996Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth22 cited
  • 2000The Minimum Variance Hedge Ratio Under Stochastic Interest Rates21 cited
  • 1988Portfolio Choice and Asset Pricing With Nontraded Assets19 cited
  • 1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model19 cited
  • 2002Optimal currency risk hedging17 cited