The Relationship between Risk-Premium andConvenience-Yield Models

Arbitrage pricing cannot be applied to commodity futures because the physicalcommodity does not represent a pure asset: Since consumption and processing of thecommodity can drive down inventories to zero, it is not always possible to construct areplicating portfolio for the futures contract, and commodity spot prices do not (fully)reflect price expectations and risk premiums.

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Year of publication:	2007-11-01
Authors:	Markert, Viola ; Zimmermann, Heinz
Institutions:	CYD Research GmbH ; Wirtschaftswissenschaftliches Zentrum <Basel>
Subject:	Arbitrage \| Portfoliomanagement \| portfolio management \| Risikoprämie

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Extent:	120832 bytes 6 p. text/html
Series:	Wirtschaftswissenschaftliches Zentrum <Basel> - working paper WWZ Summary 19/07
Type of publication:	Book / Working Paper
Language:	English
Classification:	Financial theory ; Capital budgeting, budgetary planning and budgetary control ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005867869