Options and market information: a mean-variance portfolio approach

Keywords

Portfolio, Market portfolio, Economics, Modern portfolio theory, Efficient frontier

References

• Price level risk management in the presence of commodity options: income distribution, optimal market positions, and institutional valueSteven D. Hanson — 1988
• A PRODUCER'S WILLINGNESS TO PAY FOR INFORMATION UNDER PRICE UNCERTAINTY: THEORY AND APPLICATIONTerry L. Roe, Frances Antonovitz — 1985
• competitive firm's response to riskLindon J. Robison, Peter J. Barry — 1987
• The theory of financial markets and informationJames A. Ohlson — 1987
• Futures and Option Contracting: Theory and PracticeJohn F. Marshall — 1989
• Hedging and the Competitive Firm under Price UncertaintyDuncan McC. Holthausen — 1979
• Equilibrium in incomplete markets: I : A basic model of generic existenceDarrell Duffie, Wayne Shafer — 1985
• Information, futures prices, and stabilizing speculationJean‐Pierre Danthine — 1978
• Futures Markets and the Theory of the Firm under Price UncertaintyGershon Feder, Richard E. Just, Andrew Schmitz — 1980
• EQUILIBRIUM IN A CAPITAL ASSET MARKETJan Mossin — 1966
• Theory of Financial Decision MakingEduardo S. Schwartz, Jonathan E. Ingersoll — 1987
• An analysis of live cattle option hedging strategiesTed C. Schroeder, Orlen C. Grunewald, Scott A. Langemeier — 1989
• The competitive firm's response to riskArne Hallam — 1987
• Derivative Assets AnalysisMark Rubinstein — 1987
• Futures Trading, Rational Expectations, and the Efficient Markets HypothesisMargaret Bray — 1981
• The arbitrage theory of capital asset pricingStephen A. Ross — 1976
• The Determination of Spot and Futures Prices with Storable CommoditiesStephen J. Turnovsky — 1982
• Essays in the theory of risk-bearingNils H. Hakansson, Kenneth J. Arrow — 1958
• Futures Markets, Buffer Stocks, and Income Stability for Primary ProducersRonald I. McKinnon — 1967
• Divergent rational expectations equilibrium in a dynamic model of a futures marketGeorge Feiger — 1978

Cited by

• Using futures and option contracts to manage price and quantity risk: A case of corn farmers in central IowaLi‐Fen Lei — 1992

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