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Six, Pierre's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,328 |
Total
Citations
2 |
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1.
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Attaoui, Sami
Rouen Business School Mellios, Constantin
University of Paris 1 Pantheon-Sorbonne Six, Pierre
Rouen Business School
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440
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commodity futures markets, convenience yield, calendar spread, investment, Samuelson hypothesis, commodity futures prices correlation, market prices of risk
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2.
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Optimal Dynamic Hedging in Commodity Futures Markets with a Stochastic Convenience Yield
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Mellios, Constantin
University of Paris 1 Pantheon-Sorbonne Six, Pierre
Rouen Business School
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Posted:
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05 Mar 08
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Last Revised:
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12 May 10
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366
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1
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Mellios, Constantin
University of Paris 1 Pantheon-Sorbonne Six, Pierre
Rouen Business School
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25 Aug 08
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Last Revised:
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12 May 10
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0
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Commodity spot prices, futures prices, convenience yield, stochastic market prices of risk, optimal hedging demands
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Mellios, Constantin
University of Paris 1 Pantheon-Sorbonne Six, Pierre
Rouen Business School
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05 Mar 08
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Last Revised:
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11 May 10
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366
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Commodity Futures Markets, Convenience Yield, Optimal Hedging Demand
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3.
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Mellios, Constantin
University of Paris 1 Pantheon-Sorbonne Six, Pierre
Rouen Business School
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23 Aug 09
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Last Revised:
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29 May 11
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284
(51,418)
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Partial information, hedging demand, convenience yield, commodity futures prices, market price of risk, interest rates
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4.
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The Bond-Stock Mix: A New Insight
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Versions (2)
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Attaoui, Sami
Rouen Business School Six, Pierre
Rouen Business School
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Posted:
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18 Jan 10
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Last Revised:
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30 Jan 12
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267
(55,091)
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Attaoui, Sami
Rouen Business School Six, Pierre
Rouen Business School
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16 May 11
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Last Revised:
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30 Jan 12
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77
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Bond-stock mix, pension funds, consumption, bequest, risk aversion, investment horizon
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Attaoui, Sami
Rouen Business School Six, Pierre
Rouen Business School
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18 Jan 10
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Last Revised:
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09 Oct 10
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190
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Bond-stock mix, consumption, risk aversion, investment horizon, wealth
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5.
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Six, Pierre
Rouen Business School
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10 Nov 08
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Last Revised:
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11 Aug 10
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247
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risk aversion, dynamic asset allocation, Merton-Breeden hedging demand, consumption-wealth ratio, wealth elasticity of consumption, consumption, consumption, wealth
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6.
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Attaoui, Sami
Rouen Business School Lacoste, Vincent
Rouen Business School Six, Pierre
Rouen Business School
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17 Sep 10
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Last Revised:
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23 May 11
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191
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Convenience Yield, Risk Premium, Commodity Futures Markets, Commodity Risk Management, Commodity Derivatives Pricing, Samuelson Effect
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7.
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Six, Pierre
Rouen Business School
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16 Sep 11
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Last Revised:
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12 Apr 12
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162
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Commodity investment, Commodity portfolio management, Asset Allocation, Commodity risk premium, Theory of storage
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8.
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Six, Pierre
Rouen Business School
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29 Mar 11
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Last Revised:
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12 Sep 11
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127
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Risk Aversion, Asset Allocation, Mean-Reversion, Wealth, Options
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9.
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Attaoui, Sami
Rouen Business School Six, Pierre
Rouen Business School
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116
(121,352)
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Merton-Breeden hedging demand, interest rate risk, expected utility maximization, intermediate consumption, terminal wealth
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10.
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Six, Pierre
Rouen Business School
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49
(202,386)
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risk aversion, asset allocation, mean-reversion, wealth, options
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11.
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Six, Pierre
Rouen Business School
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48
(204,307)
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oil, dynamic correlation, convenience yield, heteroskedasticity
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12.
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Attaoui, Sami
Rouen Business School Six, Pierre
Rouen Business School
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28
(249,067)
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Bequest Motive, Hedging Demand, Dynamic Opportunity Set, Wealth Certainty Equivalent, Risk Aversion
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13.
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Mellios, Constantin
University of Paris 1 Pantheon-Sorbonne Six, Pierre
Rouen Business School
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3
(331,326)
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partial information, hedging demand, convenience yield, commodity futures markets, market prices of risk, interest rates, G11, G12, G13
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14.
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Attaoui, Sami
Rouen Business School Six, Pierre
Rouen Business School
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| Posted: |
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09 Nov 08
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Last Revised:
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17 Sep 10
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Commodities, convenience yield, market price of risk, futures, options
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15.
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Attaoui, Sami
Rouen Business School Six, Pierre
Rouen Business School
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| Posted: |
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13 Oct 08
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Last Revised:
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03 Apr 12
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E31, E43, G12
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