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Time diversification which is the idea of there being less riskiness over longer investment horizons is examined in this paper. Different from previous studies, this paper contributes to the literature by using the Aumann and Serrano index as a risk measure to examine whether there is any time...
Persistent link: https://www.econbiz.de/10015261682
Cointegration analysis is used to study the spot and futures price relationships for two storable commodities, corn and soybeans, and a nonstorable commodity, live hogs, over a 13-year period, 1980 to 1992. For corn and soybeans, cointegration is found in most pre-harvest contracts (July), and...
Persistent link: https://www.econbiz.de/10009477634
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Purpose: The literature has demonstrated that lump-sum (LS) outperforms dollar-cost averaging (DCA) in uptrend markets while DCA outperforms LS only when the asset price is mean-reverted or downtrend. To bridge the gap in the literature, this study aims to use both Sharpe ratio (SR) and...
Persistent link: https://www.econbiz.de/10012279958
Persistent link: https://www.econbiz.de/10006071772
Using settlement prices and nine years of daily commitments for large reporting traders in the frozen pork bellies futures market, the authors find that these traders generate significant profits and the distribution of trader returns over time is not random. Further analysis finds that a subset...
Persistent link: https://www.econbiz.de/10005781926
The San Francisco Bay Area has one of the most congested metropolitan corridors in both California and nationwide, with very high demand for both passenger and air-freight transport. It is also a main entrance to the United States for the huge Asia market, and thus critical for the United States...
Persistent link: https://www.econbiz.de/10010537528
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In this paper, we will investigate whether there is any Sharpe ratio rule or Omega ratio rule that can be used to show that one asset outperforms another asset if it has a higher Sharpe ratio and/or Omega ratio. We find that Sharpe ratio rule could not detect preference of both risk averters and...
Persistent link: https://www.econbiz.de/10012916598
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