The risk and return of active vs passive trading strategies with commodity futures
This paper investigates relationships between profits from dynamic trading strategies, risk premium, convenience yields, and net hedging pressures for commodity futures. The term structure of oil, gold, copper and soybeans futures markets contains predictive power for the corresponding term premium....
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| Format: | Others |
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2008
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| Online Access: | http://spectrum.library.concordia.ca/976344/1/MR45465.pdf Jiang, Hui <http://spectrum.library.concordia.ca/view/creators/Jiang=3AHui=3A=3A.html> (2008) The risk and return of active vs passive trading strategies with commodity futures. Masters thesis, Concordia University. |