Estimation of Canadian commodity market risk premiums under price limits: Two-phase fuzzy approach

Omega

Volumn 34, Issue 5, 2006, Pages 477-491

  Smimou, Kamal ^a  

^a UNIVERSITY OF MANITOBA   (Canada)

Author keywords

CAPM; Commodity futures; Finance; Fuzzy regression; Fuzzy sets and data analysis; LP optimization; Price limits; Systematic risk

Indexed keywords

COMMERCE; COSTS; FINANCIAL MARKETS; REGRESSION ANALYSIS; RISK ASSESSMENT;

CAPITAL ASSET PRICING MODEL; COMMODITIES MARKET; COMMODITY FUTURES; FUZZY REGRESSIONS; FUZZY SET AND DATA ANALYSE; LP OPTIMIZATION; OPTIMISATIONS; PRICE LIMITS; RISK PREMIUM; SYSTEMATIC RISK;

RISK PERCEPTION;

EID: 30044432804     PISSN: 03050483     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.omega.2005.01.010     Document Type: Article

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