The optimal hedge ratio in unbiased futures markets
1984; Wiley; Volume: 4; Issue: 2 Linguagem: Inglês
10.1002/fut.3990040206
ISSN1096-9934
AutoresSimon Benninga, Rafael Eldor, Itzhak Zilcha,
Tópico(s)Complex Systems and Time Series Analysis
ResumoJournal of Futures MarketsVolume 4, Issue 2 p. 155-159 Article The optimal hedge ratio in unbiased futures markets Simon Benninga, Simon Benninga Assistant Professor at the Wharton School of the University of Pennsylvania. He was Assistant Professor at Tel-Aviv University when this paper was writtenSearch for more papers by this authorRafael Eldor, Rafael Eldor Assistant Professor at Tel-Aviv University. He received his Ph.D. degree from Harvard UniversitySearch for more papers by this authorItzhak Zilcha, Itzhak Zilcha Associate Professor at Tel-Aviv University. He received his Ph.D. degree from the Hebrew University of JerusalemSearch for more papers by this author Simon Benninga, Simon Benninga Assistant Professor at the Wharton School of the University of Pennsylvania. He was Assistant Professor at Tel-Aviv University when this paper was writtenSearch for more papers by this authorRafael Eldor, Rafael Eldor Assistant Professor at Tel-Aviv University. He received his Ph.D. degree from Harvard UniversitySearch for more papers by this authorItzhak Zilcha, Itzhak Zilcha Associate Professor at Tel-Aviv University. He received his Ph.D. degree from the Hebrew University of JerusalemSearch for more papers by this author First published: Summer 1984 https://doi.org/10.1002/fut.3990040206Citations: 89 AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Bibliography Baron, D. P. (1977): "On the Utility Theoretic Foundations of Mean-Variance Analysis," Journal of Finance, 32: 1683–1698. Benninga, S., Eldor R., and Zilcha I. (1983): "Optimal Hedging in the Futures Market under Price Uncertainty." Economics Letters, 13: 141–145. Ederington, L. H. (1979): "The Hedging Performance of the New Futures Markets," Joural of Finance, 34: 157–170. Franckle, C. T. (1980): "The Hedging Performance of the New Futures Markets: Comment," Journal of Finance, 35: 1273–1279. Hill, J., and Schneeweis, T. (1981): "A Note on the Hedging Effectiveness of Foreign Currency Futures," Journal of Futures Markets, 1: 659–64. Hill, J., and Schneeweis, T. (1982): " Risk Reduction Potential of Financial Futures for Corporate Bond Positions." in Interest Rate Futures: Concepts and Issues, G. D. Gay and R. W. Kolb, Eds., Robert F. Dame, Richmond, VA. Johnson, L. L. (1960): "The Theory of Hedging and Speculation in Commodity Futures," Review of Economic Studies, 27: 139–151. Kofi, T. A. (1973): "A Framework for Comparing the Efficiency of Futures Markets," American Journal of Agricultural Economics, 55: 584–594. Stein, J. L. (1961): "The Simultaneous Determination of Spot and Futures Prices," American Economic Review, 51: 1012–1025. Tomek, W. G., and Gray, R. W. (1970): "Temporal Relationships among Prices and Stabilizing Roles," American Journal of Agricultural Economics, 52: 372–380. Citing Literature Volume4, Issue2Summer 1984Pages 155-159 ReferencesRelatedInformation
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