This paper presents a theoretically sound portfolio performance measure that takes into account higher moments of distribution. This measure is motivated by a study of the investor's preferences to higher moments of distribution within Expected Utility Theory and an approximation analysis of the...

In this paper we provide a framework that explains how the market risk premium, defined as the difference between forward prices and spot forecasts, depends on the risk preferences of market players and the interaction between buyers and sellers. In commodities markets this premium is an...