Preference to Oil Spot or Oil Futures for Risk-Seekers
This paper develops the stochastic dominance (SD) tests for risk seekers, We find both MV criterion and CAPM mesures unable to draw any conclusive preference between the returns but our SD results show that spot dominates futures in the downside risk while futures dominate spot in the upside profit....
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
Universiti Sains Malaysia
2006
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| Subjects: | |
| Online Access: | http://eprints.usm.my/30827/1/Preference_to_Oil_Spot_or_Oil_Futures_for_Risk_Seekers.pdf |