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: | Smimou Kamal |
Keywords: | fuzzy sets, programming: linear, statistics: regression |
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.