Using settlement prices and nine years of daily commitments for large reporting traders in the frozen pork bellies futures market, the authors find that these traders generate significant profits and the distribution of trader returns over time is not random. Further analysis finds that a subset...

A binomial model is developed to value options when the underlying process follows the constant elasticity of variance (CEV) model. This model is proposed by Cox and Ross (1976) as an alternative to the Black and Scholes (1973) model. In the CEV model, the stock price change (dS) has volatility...

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...

This study examines the spot and futures price relationships using the cointegration approach for two storable commodities, corn and soybeans, over a thirteen-year period 1980 to 1992. It is found that specifying a time dimension in the cointegration relation is important to finding evidence of...

Using settlement prices and 9 years of daily commitments for large reporting traders in the frozen pork bellies futures market, we find that these traders generate significant profits and the distribution of trader returns over time is not random. Further analysis finds that a subset of large...

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...

Within the prospect theory the paper examines production and hedging decisions of a competitive firm under price uncertainty. We consider the prospect theory for the firm's utility function in the two moment model known as (mu,sigma)-preference. In contrast to the literature our findings show...

This study employs the mean-variance (MV) criterion, Capital Asset Pricing Model (CAPM) statistics and stochastic dominance (SD) analysis to investigate the performance of option strategies, including writing out-of-the-money (OTM) covered call and buying in-the-money (ITM) protective put, with...

This paper extends the work of Korkie and Turtle (2002) by first proving that the traditional estimate for the optimal return of self-financing portfolios always over-estimates from its theoretic value. To circumvent the problem, we develop a Bootstrap estimate for the optimal return of...