Parameter-Based Decision Making Under Estimation Risk: An Application to Futures Trading
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- Lence, Sergio H & Hayes, Dermot J, 1994. " Parameter-Based Decision Making under Estimation Risk: An Application to Futures Trading," Journal of Finance, American Finance Association, vol. 49(1), pages 345-357, March.
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- Shi, Wei & Irwin, Scott H., 2005. "A Bayesian Implementation of the Standard Optimal Hedging Model: Parameter Estimation Risk and Subjective Views," 2005 Annual meeting, July 24-27, Providence, RI 19155, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Wang, Xuecai & Dorfman, Jeffrey H. & McKissick, John C. & Turner, Steven C., 2001. "Optimal Marketing Decisions For Feeder Cattle Under Price And Production Risk," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 33(03), December.
- Lence, Sergio H. & Hayes, Dermot J., 1995.
"Land Allocation In The Presence Of Estimation Risk,"
Journal of Agricultural and Resource Economics,
Western Agricultural Economics Association, vol. 20(01), July.
- Lence, Sergio H. & Hayes, Dermot J., 1995. "Land Allocation in the Presence of Estimation Risk," ISU General Staff Papers 199507010700001008, Iowa State University, Department of Economics.
- Lence, Sergio H. & Hayes, Dermot J., 1995. "Land Allocation in the Presence of Estimation Risk," Staff General Research Papers Archive 995, Iowa State University, Department of Economics.
- 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.
- Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
- Bessler, Wolfgang & Leonhardt, Alexander & Wolff, Dominik, 2016. "Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 239-256.
- David J. Pannell & Getu Hailu & Alfons Weersink & Amanda Burt, 2008.
"More reasons why farmers have so little interest in futures markets,"
International Association of Agricultural Economists, vol. 39(1), pages 41-50, July.
- Pannell, David J. & Hailu, Getu & Weersink, Alfons & Burt, Amanda, 2007. "More Reasons Why Farmers Have So Little Interest in Futures Markets," Working Papers 9232, University of Western Australia, School of Agricultural and Resource Economics.
- Rahman, Shaikh Mahfuzur & Dorfman, Jeffrey H. & Turner, Steven C., 2004.
"A Bayesian Approach to Optimal Cross-Hedging of Cottonseed Products Using Soybean Complex Futures,"
Journal of Agricultural and Resource Economics,
Western Agricultural Economics Association, vol. 29(02), August.
- Rahman, Shaikh Mahfuzur & Dorfman, Jeffrey H. & Turner, Steven C., 2002. "A Bayesian Approach To Optimal Cross-Hedging Of Cottonseed Products Using Soybean Complex Futures," 2002 Annual meeting, July 28-31, Long Beach, CA 19708, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Wei Shi & Scott H. Irwin, 2005. "Optimal Hedging with a Subjective View: An Empirical Bayesian Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 918-930.
- repec:eee:eneeco:v:70:y:2018:i:c:p:545-562 is not listed on IDEAS
- Marcos Escobar & Sven Panz, 2016. "A Note on the Impact of Parameter Uncertainty on Barrier Derivatives," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-25, September.
- Hiroyuki Kashima, 2005. "An application of a minimax Bayes rule and shrinkage estimators to the portofolio selection problem under the Bayesian approach," Statistical Papers, Springer, vol. 46(4), pages 523-540, October.
- Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018.
"Markov switching GARCH models for Bayesian hedging on energy futures markets,"
Elsevier, vol. 70(C), pages 545-562.
- Roberto Casarin & Monica Billio & Anthony Osuntuyi, 2014. "Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets," Working Papers 2014:07, Department of Economics, University of Venice "Ca' Foscari".
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