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A Reformulation of the Portfolio Model of Hedging
7 references·11 citing·38 second hop
A Reformulation of the Portfolio Model of Hedging (1985)A Reformulation of the Portfolio Model of…The hedging effectiveness of currency futures markets (1981)The hedging effectiveness of …The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Futures trading and hedging (1978)Futures trading and hedgingThe Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…The Simultaneous Determination of Spot and Futures Prices (1976)The Simultaneous Determinatio…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Alice's Adventures in Wonderland & Through the Looking-Glass (1865)Alice's Adventures in Wonderl…Hedging and Optimal Hedge Ratios for International Index Futures Markets (2009)Hedging and Optimal Hedge Rat…HEDGING WITH INTERNATIONAL STOCK INDEX FUTURES: AN INTERTEMPORAL ERROR CORRECTION MODEL (1996)HEDGING WITH INTERNATIONAL ST…Evaluating the Hedging Potential of the Lean Hog Futures Contract (1996)Evaluating the Hedging Potent…The Hedging Effectiveness of ECU Futures Contracts: Forecasting Evidence from an Error Correction Model (1995)The Hedging Effectiveness of …Optimal Hedge Ratios with Risk‐Neutral Producers and Nonlinear Borrowing Costs (1995)Optimal Hedge Ratios with Ris…Utility maximizing hedge ratios in the extended mean gini framework (1993)Utility maximizing hedge rati…Efficient use of information, convergence adjustments, and regression estimates of hedge ratios (1993)Efficient use of information,…Hedge effectiveness: Basis risk and minimum‐variance hedging (1992)Hedge effectiveness: Basis ri…Basis Expectations and Soybean Hedging Effectiveness (1990)Basis Expectations and Soybea…Measuring hedging effectiveness with R2: A note (1989)Measuring hedging effectivene…Estimating Hedge Ratios (1986)Estimating Hedge RatiosCommodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Multiperiod hedging in the presence of stochastic volatility (2001)Price Discovery, Causality and Forecasting in the Freight Futures Market (2003)Optimal hedge ratios and hedging effectiveness: An analysis of the Turkish futures market (2021)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)Asset Storability and Price Discovery of Commodity Futures Markets: A New Look (2002)Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach (2006)Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets (2008)The effect of exchange rate uncertainty on the prices and volume of international trade (1978)The Efficiency of the Treasury Bill Futures Market (1979)Hedging effectiveness of currency options and currency futures (1986)The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated (2011)Hedging Strategies of Green Assets against Dirty Energy Assets (2020)Futures Trading and the Storage of Cotton and Wheat (1958)Hedging with stock index futures: Estimation and forecasting with error correction model (1993)Some Recent Developments in Futures Hedging (2002)Modelling and measuring price discovery in commodity markets (2010)Review of Economic Studies (2010)American Economic Review (2019)The Theory of Hedging and Speculation in Commodity Futures (1960)Weather risk management in ski resorts: Financial hedging and geographical diversification (2010)Buy now and price later: Supply contracts with time-consistent mean–variance financial hedging (2018)Epistemological debates, feminist voices: Science, social values, and the study of women. (1992)The Psychological Reality of Phonaesthemes (2004)Cognitive Grammar in Literature (2014)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)Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets (2007)The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? (2010)Facts and Fantasies about Commodity Futures Ten Years Later (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1976The Simultaneous Determination of Spot and Futures Prices414 cited
  • 1978Futures trading and hedging238 cited
  • 1865Alice's Adventures in Wonderland & Through the Looking-Glass180 cited
  • 1981The hedging effectiveness of currency futures markets54 cited

Cited by

  • 1992Hedge effectiveness: Basis risk and minimum‐variance hedging56 cited
  • 1993Efficient use of information, convergence adjustments, and regression estimates of hedge ratios50 cited
  • 1996HEDGING WITH INTERNATIONAL STOCK INDEX FUTURES: AN INTERTEMPORAL ERROR CORRECTION MODEL45 cited
  • 1993Utility maximizing hedge ratios in the extended mean gini framework44 cited
  • 1995Optimal Hedge Ratios with Risk‐Neutral Producers and Nonlinear Borrowing Costs35 cited
  • 1986Estimating Hedge Ratios34 cited
  • 1995The Hedging Effectiveness of ECU Futures Contracts: Forecasting Evidence from an Error Correction Model31 cited
  • 1990Basis Expectations and Soybean Hedging Effectiveness

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28 cited
  • 2009Hedging and Optimal Hedge Ratios for International Index Futures Markets23 cited
  • 1989Measuring hedging effectiveness with R2: A note21 cited
  • 1996Evaluating the Hedging Potential of the Lean Hog Futures Contract18 cited