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Preference-free optimal hedging using futures

  • Rao, Vadhindran K.
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    File URL: http://www.sciencedirect.com/science/article/B6V84-3Y3PRG2-J/2/6c55828bedeeb14e945ba1544acdab96
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 66 (2000)
    Issue (Month): 2 (February)
    Pages: 223-228

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    Handle: RePEc:eee:ecolet:v:66:y:2000:i:2:p:223-228
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Baillie, R.T. & Myers, R.J., 1989. "Modeling Commodity Price Distribution And Estimating The Optimal Futures Hedge," Papers 8814, Michigan State - Econometrics and Economic Theory.
    2. Lence, Sergio H., 1995. "On the Optimal Hedge Under Unbiased Futures Prices," Staff General Research Papers 5115, Iowa State University, Department of Economics.
    3. Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-24, April-Jun.
    4. Benninga, Simon & Eldor, Rafael & Zilcha, Itzhak, 1983. "Optimal hedging in the futures market under price uncertainty," Economics Letters, Elsevier, vol. 13(2-3), pages 141-145.
    5. Owen, Joel & Rabinovitch, Ramon, 1983. " On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-52, June.
    6. Liu, Shi-Miin & Brorsen, B Wade, 1995. " GARCH-Stable as a Model of Futures Price Movements," Review of Quantitative Finance and Accounting, Springer, vol. 5(2), pages 155-67, June.
    7. Holthausen, Duncan M, 1979. "Hedging and the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 69(5), pages 989-95, December.
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