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...

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...

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...