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Time diversification which is the idea of there being less riskiness over longer investment horizons is examined in this paper. Different from previous studies, this paper contributes to the literature by using the Aumann and Serrano index as a risk measure to examine whether there is any time...
Persistent link: https://www.econbiz.de/10015261682
The San Francisco Bay Area has one of the most congested metropolitan corridors in both California and nationwide, with very high demand for both passenger and air-freight transport. It is also a main entrance to the United States for the huge Asia market, and thus critical for the United States...
Persistent link: https://www.econbiz.de/10010537528
In this paper, we will investigate whether there is any Sharpe ratio rule or Omega ratio rule that can be used to show that one asset outperforms another asset if it has a higher Sharpe ratio and/or Omega ratio. We find that Sharpe ratio rule could not detect preference of both risk averters and...
Persistent link: https://www.econbiz.de/10012916598
Persistent link: https://www.econbiz.de/10014234486
In this paper, we will investigate whether there is any Sharpe ratio rule or Omega ratio rule that can be used to show that one asset outperforms another asset if it has a higher Sharpe ratio and/or Omega ratio. We find that Sharpe ratio rule could not detect preference of both risk averters and...
Persistent link: https://www.econbiz.de/10012865280
Our paper contributes to the literature by extending the theory of the mean-variance (MV) rules for both risk averters and risk lovers to the MV rule for investors with reverse S-shaped utility. To do so, we first introduce the definition of the MV rule for investors with reverse S-shaped...
Persistent link: https://www.econbiz.de/10013404049
Persistent link: https://www.econbiz.de/10003371580
Firms always encounter risks in the process of production, distribution and marketing due to the structure of the firms, market conditions, or some unforeseen circumstances such as natural catastrophe. Instruments have been developed to help firms deal with such risks, and futures contracts are...
Persistent link: https://www.econbiz.de/10009477673
This study identifies the changes that have occurred in the world cocoa market, explains these changes and deduces implications for development policy. Supply of cocoa to the world market has increased and the world price of cocoa is decreasing. Cocoa is an important export commodity for...
Persistent link: https://www.econbiz.de/10009477680
In this research, the noise trader sentiment model of De Long, Schleifer, Summers, and Waldmann is modified and applied to futures markets. The theoretical model predicts that overly optimistic (pessimistic) noise traders result in futures prices that are greater (less) than fundamental value....
Persistent link: https://www.econbiz.de/10009477881