Recent research has provided mixed results regarding the presence of a time-varying risk premium in agricultural futures markets. In this paper we test for the presence of a time-varying risk premium and market efficiency focusing on the properties of the underlying data. Specifically, we...

The purpose of this study is to analyze how the introduction of a downside risk measure and less restrictive assumptions can change the optimal hedge ratio in the standard hedging problem. Based on a dataset of futures and cash prices for soybeans in the U.S., the empirical findings indicate...

Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical...

This study extends previous work on the impact of commodity futures on portfolio performance by explicitly incorporating levered futures into the portfolio optimization problem. Using data on nine individual commodity futures and one aggregate index from 1994-2003, we find that collateralized...