Estimation of Canadian commodity market risk premiums under price limits: two-phase fuzzy approach

Estimation of Canadian commodity market risk premiums under price limits: two-phase fuzzy approach

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Article ID: iaor2008328
Country: United Kingdom
Volume: 34
Issue: 5
Start Page Number: 477
End Page Number: 491
Publication Date: Oct 2006
Journal: OMEGA
Authors:
Keywords: fuzzy sets, programming: linear, statistics: regression
Abstract:

This paper is written with two complementary purposes in mind. The first is to provide estimates of systematic risk for Canadian commodities futures (western barley, canola, flaxseed, feed wheat) using a market portfolio based on a similar weighting scheme suggested by Marcus. The second is to estimate systematic risk with the induction of price limits in the capital asset pricing model (CAPM) and the deployment of fuzzy regression method. A comparative investigation has been provided to show the importance of the fuzzy regression to estimate the existing risk premiums in the commodity futures.

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