Open Access
SHS Web of Conferences
Volume 17, 2015
ICMETM 2015 - International Conference on Modern Economic Technology and Management
Article Number 01004
Number of page(s) 9
Section Economic and Industry
Published online 25 March 2015
  1. Cecchetti, S.G., Cumby, R.E., Figlewski, S. Estimation of the optimal futures hedge [J]. Review of Economics and Statistics, 1988, 70(4): 623–630. [CrossRef] [Google Scholar]
  2. Chen, S.S., Lee, C.F., Shrestha, K. Futures hedging ratios: a review [J]. The Quarterly Review of Economics and Finance, 2003, 43(3): 433–465. [CrossRef] [Google Scholar]
  3. Ederington, L.H. The hedging performance of the new futures markets [J]. Journal of Finance, 1979, 34(1): 157–170. [CrossRef] [Google Scholar]
  4. Gordon, J.A., Alexandre, M.B. A comparison of VaR and CVaR constraints on portfolio selection with the Mean Variance model [J]. Management Science, 2004, 50(9): 1261–1273. [Google Scholar]
  5. Huang, J.C., Chiu, C.L., Lee, M.C. Hedging with zero-value at risk hedge ratio [J]. Applied Financial Economics, 2006, 16(3): 259–269. [CrossRef] [Google Scholar]
  6. Kahneman D., Tversky A. Prospect Theory: An Analysis of Decision under Risk [M]. Econometrica, 1979: 263–291. [CrossRef] [Google Scholar]
  7. Krokhmal P., Palmquist, J., Uryasev S. Portfolio optimization with conditional value-at-risk objective and constraints [J]. Journal of Risk, 2002(4):43–68. [Google Scholar]
  8. Lence, S.H. Relaxing the assumptions of minimum-variance hedging [J]. Journal of Agricultural and Resource Economics, 1996, 21(1): 39–55. [Google Scholar]
  9. Richard, D.H., Shen, J. Hedging and value at risk [J]. Journal of Futures Markets, 2006, 26(4): 369–390. [CrossRef] [Google Scholar]
  10. Rockafellar, R. T., Uryasev, S. Optimization of Conditional Value-at-Risk [J].Journal of Risk, 2000(2): 21–41. [Google Scholar]
  11. Tversky, A., Kahneman, D. Advances in Prospect Theory: Cumulative Representation of Uncertainty. Journal of Risk and Uncertainty, 1992, 5: 297–323. [CrossRef] [Google Scholar]
  12. Chi, G.T., Zhao, G.J., Yang Z.Y., Best Hedging Ratio Model of Future Based on CVaR and Its Application [J]. Journal of Systematic Management, 2009, 2: 27–33. [Google Scholar]
  13. Zhou, Y. Estimation of Best Hedging Ratio of Future that Takes VaR as the Objective Function [J] Statistics and Decision-making, 2008, 18: 157–159. [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.