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Risk and return in copper, platinum, and silver futures · Study

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ArticleRisk and return in copper, platinum, and silver futures

Eric Chieh C. Chang1990

Article1990

Risk and return in copper, platinum, and silver futures

Eric Chieh C. Chang · Chao Chen · Son‐Nan Chen

28 citations·0/0 files stored·Journal of Futures Markets

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1986Economic Forces and the Stock Market 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 2015Proof that Properly Anticipated Prices Fluctuate Randomly 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums

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Year1990

Typearticle

Published1990-02-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations28

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990100104

openalex_workW1968297090

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1984

A comparison of inflation forecasts