Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of Banking & Finance 32 (2008) 10, pp. 2006-2021
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...