We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized and expected variance swap payoffs in most markets. We find evidence of commonalities among the realized payoffs of commodity variance swaps. We also document...

We develop a new approach to determine investors' risk compensations for all distributional moments of a security. Using the concept of entropy, a summary of all moments of a risky security, we derive the relationship between expected returns and their compensation for entropy risk. Entropy risk...

Market participants have an obligation to periodically explain the economic role of futures trading and the role of speculators in these markets. This will be the main task of this paper. In addition, this paper will discuss two other challenges in the commodity markets: the impact of the Risk...