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Safety First and Hedging

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Cited by:

  1. Lokonon, Boris Odilon & Savadogo, Kimseyinga & Mbaye, Ahmadou, 2015. "Assessing the impacts of climate shocks on farm performance and adaptation responses in the Niger basin of Benin," African Journal of Agricultural and Resource Economics, African Association of Agricultural Economists, vol. 10(3), pages 1-16, September.
  2. Aditya Vedantam & Ananth Iyer, 2021. "Revenue‐Sharing Contracts Under Quality Uncertainty in Remanufacturing," Production and Operations Management, Production and Operations Management Society, vol. 30(7), pages 2008-2026, July.
  3. Hahnenstein, Lutz & Roder, Klaus, 2003. "The minimum variance hedge and the bankruptcy risk of the firm," Review of Financial Economics, Elsevier, vol. 12(3), pages 315-326.
  4. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2017. "Portfolio selection with mental accounts and estimation risk," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 161-186.
  5. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2020. "Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion," Journal of Banking & Finance, Elsevier, vol. 110(C).
  6. Yuanyao Ding & Bo Zhang, 2009. "Risky asset pricing based on safety first fund management," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 353-361.
  7. Stückler, Maria, 2002. "Handel auf Terminkontraktmärkten," Department of Economics Working Paper Series 80, WU Vienna University of Economics and Business.
  8. Altomonte, Carlo & Barattieri, Alessandro & Basu, Susanto, 2015. "Average-cost pricing: Some evidence and implications," European Economic Review, Elsevier, vol. 79(C), pages 281-296.
  9. Robison, Lindon & Lev, Larry, 1983. "Distinguishing Between Initial and Final Outcome Variables to Predict Choices Under Risk or Why Woody Chip Went to the Air," Staff Paper Series 200693, Michigan State University, Department of Agricultural, Food, and Resource Economics.
  10. Talpaz, Hovav & Taylor, C. Robert, 1977. "Determining Optimal Fertilization Rates Under Variable Weather Conditions," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 2, pages 1-8, December.
  11. Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 333-354, May.
  12. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2014. "Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 107-130.
  13. Maarten van Oordt, 2017. "Credit Risk Transfer and Bank Insolvency Risk," Staff Working Papers 17-59, Bank of Canada.
  14. Salisu, Afees A. & Akanni, Lateef O. & Vo, Xuan Vinh, 2021. "Volatility spillovers and hedging effectiveness between health and tourism stocks: Empirical evidence from the US," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 150-159.
  15. Alexander, Gordon J. & Baptista, Alexandre M., 2011. "Portfolio selection with mental accounts and delegation," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2637-2656, October.
  16. Stoja, Evarist & Polanski, Arnold & Nguyen, Linh H. & Pereverzin, Aleksandr, 2023. "Does systematic tail risk matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  17. Ortobelli, Sergio & Rachev, Svetlozar & Schwartz, Eduardo, 2000. "The Problem of Optimal Asset Allocation with Stable Distributed Returns," University of California at Los Angeles, Anderson Graduate School of Management qt3zd6q86c, Anderson Graduate School of Management, UCLA.
  18. Simmons, Phil, 2002. "Why do farmers have so little interest in futures markets?," Agricultural Economics, Blackwell, vol. 27(1), pages 1-6, May.
  19. Maria Stückler, 2002. "Handel auf Terminkontraktmärkten," Department of Economics Working Papers wuwp080, Vienna University of Economics and Business, Department of Economics.
  20. Alexander, Gordon J. & Baptista, Alexandre M., 2002. "Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1159-1193, July.
  21. Liu, Hsiang-Hsi, 1983. "An annual simultaneous equation econometric model of U.S. corn and soybean cash and futures markets," ISU General Staff Papers 198301010800009935, Iowa State University, Department of Economics.
  22. Buschena, David & ZIlberman, David, 1992. "Risk Attitudes Over Wealth Under Discrete Status Levels," CUDARE Working Papers 198595, University of California, Berkeley, Department of Agricultural and Resource Economics.
  23. Dorfleitner, Gregor & Utz, Sebastian, 2012. "Safety first portfolio choice based on financial and sustainability returns," European Journal of Operational Research, Elsevier, vol. 221(1), pages 155-164.
  24. Pfiffelmann, Marie & Roger, Tristan & Bourachnikova, Olga, 2016. "When Behavioral Portfolio Theory meets Markowitz theory," Economic Modelling, Elsevier, vol. 53(C), pages 419-435.
  25. Blank, Steven C., 2001. "The Challenge To Think Big As American Agriculture Shrinks," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 26(2), pages 1-17, December.
  26. Hassan, M. Kabir & Farhat, Joseph & Al-Zu'Bi, Bashir, 2003. "Dividend Signaling Hypothesis And Short-Term Asset Concentration Of Islamic Interest-Free Banking," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 11, pages 2-30.
  27. Zhiping Chen & Shen Peng & Abdel Lisser, 2020. "A sparse chance constrained portfolio selection model with multiple constraints," Journal of Global Optimization, Springer, vol. 77(4), pages 825-852, August.
  28. Jiuping Xu & Xiaoyang Zhou & Steven Li, 2011. "A Class of Chance Constrained Multi-objective Portfolio Selection Model Under Fuzzy Random Environment," Journal of Optimization Theory and Applications, Springer, vol. 150(3), pages 530-552, September.
  29. Steven C. Blank, 2002. "A Portfolio Of Threats To American Agriculture," Contemporary Economic Policy, Western Economic Association International, vol. 20(4), pages 381-393, October.
  30. 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(2), pages 1-16, August.
  31. Adelman, Irma & Hihn, J. Michael & Head, Thomas, 1981. "An Approach to Policy Evaluation in the Egyptian Agricultural Sector: Simulation of Egyptian Village Economy," Working Papers 232858, University of California, Davis, Agricultural Development Systems: Egypt Project.
  32. Kuo-Hwa Chang & Michael Nayat Young, 2019. "Portfolios Optimizations of Behavioral Stocks with Perception Probability Weightings," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 817-845, November.
  33. Lawrence, John D. & Kaylen, Michael S., 1990. "Risk Management For Livestock Producers: Hedging And Contract Production," Staff Papers 13496, University of Minnesota, Department of Applied Economics.
  34. Werner Gleißner & Thomas Günther & Christian Walkshäusl, 2022. "Financial sustainability: measurement and empirical evidence," Journal of Business Economics, Springer, vol. 92(3), pages 467-516, April.
  35. Desmond Cai & Anish Agarwal & Adam Wierman, 2020. "On the Inefficiency of Forward Markets in Leader–Follower Competition," Operations Research, INFORMS, vol. 68(1), pages 35-52, January.
  36. Ward, Ronald W. & Schimkat, Gregory E., 1979. "Risk Ratios And Hedging: Florida Feeder Cattle," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 11(1), pages 1-7, July.
  37. McSweeny, William T. & Shortle, James S., 1989. "Reducing Nutrient Application Rates For Water Quality Protection In Intensive Livestock Areas: Policy Implications Of Alternative Producer Behavior," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 18(1), pages 1-11, April.
  38. Shi Chengdong & Zhou Guanglu & Bian Dunxin & Wu Meixiang, 2016. "The Coordination and Optimization of Closed-Loop Supply Chain with Lots of Factors," Journal of Systems Science and Information, De Gruyter, vol. 4(4), pages 307-320, August.
  39. Lutz Hahnenstein & Klaus Röder, 2003. "The minimum variance hedge and the bankruptcy risk of the firm," Review of Financial Economics, John Wiley & Sons, vol. 12(3), pages 315-326.
  40. Thomas Günther & Werner Gleißner & Christian Walkshäusl, 2020. "What happened to financially sustainable firms in the Corona crisis?," Sustainability Nexus Forum, Springer, vol. 28(3), pages 83-90, December.
  41. repec:ags:ucdegw:232858 is not listed on IDEAS
  42. Sun, Shuxiao & Hua, Shengya & Liu, Zhongyi, 2024. "Navigating default risk in supply chain finance: Guidelines based on trade credit and equity vendor financing," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 182(C).
  43. Miloš Kopa & Tomáš Rusý, 2021. "A decision-dependent randomness stochastic program for asset–liability management model with a pricing decision," Annals of Operations Research, Springer, vol. 299(1), pages 241-271, April.
  44. J L Ford & Zahid Muhammad, 2010. "Safety-First and Portfolio Selection: An Econometric Study for Pakistan's Banking Sector," Discussion Papers 10-18, Department of Economics, University of Birmingham.
  45. Bharat M. Upadhyay & Douglas L. Young, 2005. "An Operational Approach for Evaluating Investment Risk: An Application to the No-Till Transition," Working Papers 2005-1, School of Economic Sciences, Washington State University.
  46. Cliff Huang & Tsu-Tan Fu, 2009. "Uncertainty and total factor productivity in the Taiwanese banking industry," Applied Financial Economics, Taylor & Francis Journals, vol. 19(9), pages 753-766.
  47. Mirakhor, Abbas, 1987. "Analysis of Short-Term Asset Concentration in Islamic Banking," MPRA Paper 56029, University Library of Munich, Germany.
  48. Nicolas Brisset, 2018. "Models as speech acts: the telling case of financial models," Journal of Economic Methodology, Taylor & Francis Journals, vol. 25(1), pages 21-41, January.
  49. Baptista, Alexandre M., 2012. "Portfolio selection with mental accounts and background risk," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 968-980.
  50. Rahman, Shaikh Mahfuzur & Turner, Steven C. & Costa, Ecio de Farias, 2001. "Cross-Hedging Cottonseed Meal," Journal of Agribusiness, Agricultural Economics Association of Georgia, vol. 19(2), pages 1-9.
  51. Blank, Steven C., 2001. "Globalization, Cropping Choices, And Profitability In American Agriculture," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 33(2), pages 1-12, August.
  52. Andersen, Per & Vetter, Henrik, 2015. "Pricing as a risky choice: Uncertainty and survival in a monopoly market," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-22.
  53. 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.
  54. Sattinger, Michael, 2011. "The Markov consumption problem," Journal of Mathematical Economics, Elsevier, vol. 47(4-5), pages 409-416.
  55. Celikyurt, U. & Ozekici, S., 2007. "Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach," European Journal of Operational Research, Elsevier, vol. 179(1), pages 186-202, May.
  56. Zilberman, David & Buschena, David E., 1990. "What We Know About Decision Making Under Uncertainty And Why We Do Not Use What We Know," 1990 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk Meeting, January 28-31, 1990, Sanibel Island, Florida 271535, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
  57. Tadesse, Dawit & Blank, Steven C., 2003. "Cultivar Diversity: A Neglected Risk Management Strategy," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(2), pages 1-16, August.
  58. Tessema, Yohannis & Asafu-Adjaye, John & Rodriguez, Daniel & Mallawaarachchi, Thilak & Shiferaw, Bekele, 2015. "A bio-economic analysis of the benefits of conservation agriculture: The case of smallholder farmers in Adami Tulu district, Ethiopia," Ecological Economics, Elsevier, vol. 120(C), pages 164-174.
  59. Simmons, Phil, 1999. "Does Separation Theorem Explain Why Farmers Have So Little Interest In Futures Markets?," Working Papers 12933, University of New England, School of Economics.
  60. Selley, Roger, 1980. "Specification Of Firm Level Risk Behavior Models: Another Look At The Alternatives," Risk Analysis in Agriculture: Research and Educational Developments, January 16-18, 1980, Tucson, Arizona 271562, Regional Research Projects > W-149: An Economic Evaluation of Managing Market Risks in Agriculture.
  61. Bharat M. Upadhyay & Douglas L. Young, 2004. "An Operational Approach For Evaluating Investment Risk: An Application To The No-Till Transition," Others 0412002, University Library of Munich, Germany.
  62. Tai-Hsin Huang & Ying-Ting Liao & Li-Chih Chiang, 2010. "An examination on the cost efficiency of the banking industry under multiple output prices' uncertainty," Applied Economics, Taylor & Francis Journals, vol. 42(9), pages 1169-1182.
  63. Rhee, S. Ghon & Wu, Feng (Harry), 2020. "Conditional extreme risk, black swan hedging, and asset prices," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 412-435.
  64. Amen Aissi Harzallah & Mouna Boujelbene Abbes, 2020. "The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory," Journal of Interdisciplinary Economics, , vol. 32(2), pages 218-236, July.
  65. Costa, Ecio de Farias & Turner, Steven C., 2001. "Price Risk Management For Peanut Meal," Faculty Series 16656, University of Georgia, Department of Agricultural and Applied Economics.
  66. Young, Douglas L. & Van Kooten, G.C., 1988. "Incorporating Risk Into A Dynamic Programming Application: Flexcropping," Regional Research Projects > 1988: S-180 Annual Meeting, March 20-23, 1988, Savannah, Georgia 272781, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
  67. Diepold, Dennis, 2011. "Zum Einfluss kurzfristiger Fremdfinanzierungsmöglichkeiten auf die Portfoliooptimierung mit illiquiden Assets," Die Unternehmung - Swiss Journal of Business Research and Practice, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 65(4), pages 380-401.
  68. Robison, Lindon J., 1994. "Expanding The Set Of Expected Utility And Mean Standard Deviation Consistent Models," 1994 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses Risk, Technical Committee Meeting, March 24-26, 1994, Gulf Shores State Park, Alabama 271676, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
  69. Haque, Mahfuzul & Kabir Hassan, M. & Varela, Oscar, 2004. "Safety-first portfolio optimization for US investors in emerging global, Asian and Latin American markets," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 91-116, January.
  70. Sergey S. Rabotyagov, 2010. "Ecosystem Services under Benefit and Cost Uncertainty: An Application to Soil Carbon Sequestration," Land Economics, University of Wisconsin Press, vol. 86(4), pages 668-686.
  71. Selim Mankai & Khaled Guesmi, 2014. "Robust Portfolio Protection: A Scenarios-Based Approach," Working Papers hal-04141326, HAL.
  72. Andersen, Per & Vetter, Henrik, 2015. "Pricing as a risky choice: Uncertainty and survival in a monopoly market," Economics Discussion Papers 2015-53, Kiel Institute for the World Economy (IfW Kiel).
  73. Sergiy Gerasymchuk, 2007. "Mean-Variance Portfolio Selection with Reference Dependent Preferences," Working Papers 150, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  74. Luděk Benada, 2018. "Comparison of the Impact of Econometric Models on Hedging Performance by Crude Oil and Natural Gas," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 66(2), pages 423-429.
  75. Dupačová, Jitka & Kopa, Miloš, 2014. "Robustness of optimal portfolios under risk and stochastic dominance constraints," European Journal of Operational Research, Elsevier, vol. 234(2), pages 434-441.
  76. Adler Haymans MANURUNG & Fadh Fauzi HIBATULLAH & Jadongan SIJABAT, 2023. "Stock Selection Using Roy Criteria to Construct a Portfolio and the Effects of Variables on Portfolio Return," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 12(3), pages 1-2.
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