We propose a new procedure to rank portfolio performance. Given a set of N portfolios, we use statistical tests of dominance which produce direct mean-variance comparisons between any two portfolios in the set. These tests yield an NxN matrix of pairwise comparisons. A ranking function maps the...

This paper examines the extent to which limitations in the transportation system for the natural gas market in the United States narrows the effectiveness of the NYMEX natural gas future contract as a hedging instrument and why a second contract with a different delivery point was approved...

We derive formulas for the valuation of call options on stocks and bonds when the defaultfree rate is stochastic. The formulas highlight the role of the correlation between the unanticipated returns on the underlying security and the changes in the short-term rate in determining the options...