Commodities and the market price of risk

Commodities and the market price of risk / prepared by Shaun K. Roache.

Commodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying risk factors. In this paper, I assess the macro risk exposure offered by commodity future...

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Bibliographic Details
Main Author: Roache, Shaun K. (Author)
Corporate Author: International Monetary Fund. Finance Department
Format: eBook
Language:English
Published: Washington, D.C. : International Monetary Fund, ©2008.
©2008
Series:IMF working paper ; WP/08/221.
Subjects:
Commodity futures > Econometric models.
Risk > Econometric models.
Capital assets pricing model.
Capital assets pricing model
Commodity futures > Econometric models
Risk > Econometric models
Capital Asset Pricing Model.
Rohstoff-Futures.
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