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A partial equilibrium for the convenience yield risk premium
- Source :
- ESE Energy and Finance Conference, ESE Energy and Finance Conference, Oct 2011, Rotterdam, Netherlands, 50th Annual Meeting of the Southwestern Finance Association (SWFA), 50th Annual Meeting of the Southwestern Finance Association (SWFA), Mar 2011, Houston, United States
- Publication Year :
- 2011
- Publisher :
- HAL CCSD, 2011.
-
Abstract
- International audience; This papers develops a partial equilibrium model of the convenience yield risk premium. Contrary to the previous literature, the risk premium is computed explicitely and endogenously. We provide a decomposition of the convenience yield risk premium in terms of the volatility of the convenience yield as well as in terms of the sensitivity of the marginal utility of investors to the movements of the convenience yield. This decomposition enables us to assess the impact of the risk aversion and investment horizon of investors on the futures contracts' basis and on the term structure of volatility for our illustration carried out in the case of the copper market.
- Subjects :
- commodity futures markets
[SHS.ECO.FIN]Humanities and Social Sciences/Economics and Finance/domain_shs.eco.fin
convenience yield risk premium
commodity risk management
Samuelson effect
[SHS.ECO.FIN] Humanities and Social Sciences/Economics and Finance/domain_shs.eco.fin
risk aversion
JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G13 - Contingent Pricing • Futures Pricing
commodity futures basis
Convenience Yield
commodity derivatives pricing
Risk Premium
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- ESE Energy and Finance Conference, ESE Energy and Finance Conference, Oct 2011, Rotterdam, Netherlands, 50th Annual Meeting of the Southwestern Finance Association (SWFA), 50th Annual Meeting of the Southwestern Finance Association (SWFA), Mar 2011, Houston, United States
- Accession number :
- edsair.dedup.wf.001..67e73bab4051ba9177f6820f450aa148