Bernoulli speculator and trading strategy risk

Article Abstract:

Issues are presented concerning the use of a continuous time method to model a speculator who trades on forward or futures contracts which have been written on instruments which are interest-rate-sensitive.

Futures market, Futures markets, Interest rates, Stock index futures, Bernoulli shifts

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Mean-variance efficiency of the market portfolio and futures trading

Article Abstract:

Research is presented concerning the development of an intertemporal capital asset pricing model through the modeling of a continuously open, frictionless financial market which trades in nonredundant futures contracts.

Asset & Risk Management, Models, Risk management, Financial markets, Capital assets

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General equilibrium pricing of nonredundant forward contracts

Article Abstract:

Pricing of forward contracts is shown to not usually depend on cash and carry relationships, although an example illustrates the exception.

Israel, Commodity & service prices, Pricing Policy, Methods, Pricing, Futures, Company pricing policy, Product price

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