Relaxing standard hedging assumptions in the presence of downside risk
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- Mattos, Fabio & Garcia, Philip & Nelson, Carl H., 2005. "Relaxing Standard Hedging Assumptions in the Presence of Downside Risk," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19040, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
References listed on IDEAS
- Donald Lien & Yiu Kuen Tse, 2000. "Hedging downside risk with futures contracts," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 163-170.
- Unser, Matthias, 2000. "Lower partial moments as measures of perceived risk: An experimental study," Journal of Economic Psychology, Elsevier, vol. 21(3), pages 253-280, June.
- Sergio H. Lence, 1995. "The Economic Value of Minimum-Variance Hedges," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 77(2), pages 353-364.
- Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-126, March.
- Philip Garcia, 2004. "A selected review of agricultural commodity futures and options markets," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 31(3), pages 235-272, September.
- Babak Eftekhari, 1998. "Lower partial moment hedge ratios," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 645-652.
- Robert A. Collins, 1997. "Toward a Positive Economic Theory of Hedging," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(2), pages 488-499.
- Turvey, Calum G. & Nayak, Govindaray, 2003. "The Semivariance-Minimizing Hedge Ratio," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(01), April.
- Chen, Sheng-Syan & Lee, Cheng-few & Shrestha, Keshab, 2003. "Futures hedge ratios: a review," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 433-465.
- Demirer, Riza & Lien, Donald, 2003. "Downside risk for short and long hedgers," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 25-44.
- Lence, Sergio H., 1996.
"Relaxing The Assumptions Of Minimum-Variance Hedging,"
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- Lence, Sergio H., 1996. "Relaxing the Assumptions of Minimum-Variance Hedging," Staff General Research Papers Archive 5156, Iowa State University, Department of Economics.
- Lien, Donald & Tse, Yiu Kuen, 2001. "Hedging downside risk: futures vs. options," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 159-169.
- Lien, Donald & Tse, Y K, 2002. " Some Recent Developments in Futures Hedging," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 357-396, July.
- Grootveld, Henk & Hallerbach, Winfried, 1999. "Variance vs downside risk: Is there really that much difference?," European Journal of Operational Research, Elsevier, vol. 114(2), pages 304-319, April.
- Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-430, June.
- Carl H. Nelson, 2004. "Toward exploring the location-scale condition: a constant relative risk aversion location-scale objective function," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 31(3), pages 273-287, September.
- Gollier, Christian & Pratt, John W, 1996. "Risk Vulnerability and the Tempering Effect of Background Risk," Econometrica, Econometric Society, vol. 64(5), pages 1109-1123, September.
- Peck, Anne E. & Nahmias, Antoinette M., 1989. "Hedging Your Advice: Do Portfolio Models Explain Hedging?," Food Research Institute Studies, Stanford University, Food Research Institute, issue 02.
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- repec:eee:eneeco:v:63:y:2017:i:c:p:31-40 is not listed on IDEAS
- Woodard, Joshua D. & Sherrick, Bruce J. & Schnitkey, Gary D., 2009. "Revenue Risk Reduction Impacts of Crop Insurance in a Multi-Crop Framework," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53043, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Power, Gabriel J. & Vedenov, Dmitry V., 2008. "The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Driedger, Jonathon & Porth, Lysa & Boyd, Milton, 2016. "The Potential to Use Futures and Options to Manage Crop Insurance Losses," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 235747, Agricultural and Applied Economics Association.
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