McAleer, Michael; Lean, Lean, H.H.; Wong, Wong, W-K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013
This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests...