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ArticleUnderstanding futures markets

Michael J. P. Magill1984

Article1984

Understanding futures markets

Michael J. P. Magill

88 citations·0/0 files stored·Empirica

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Economic theories and models Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1936The General Theory of Employment, Interest and Money.1936The General Theory of Employment, Interest and Money.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.]1959Portfolio Selection: Efficient Diversification of Investments 1980On the Impossibility of Informationally Efficient Markets 1958

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Year1984

Typearticle

Published1984-01-01

VenueEmpirica

ISSN-L0340-8744

Languageen

Citations88

Files0 public / 0

ShelfEconomic theories and models

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doi10.1007/bf00926354

openalex_workW2000343647

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Liquidity Preference as Behavior Towards Risk

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