Title :
On the estimation of commodity market risk premium under price limits
Author_Institution :
I.H. Asper Sch. of Bus., Manitoba Univ., Winnipeg, Man., Canada
Abstract :
This paper extends the estimation of market risk premium under price limits in two important directions. The first is to provide estimates of systematic risk for Canadian commodities futures (western barley, canola, flaxseed, feed wheat) using a market portfolio based on a similar weighting scheme suggested by Marcus (1984). The second is to estimate systematic risk with the induction of price limits in the capital asset pricing model (CAPM) and the deployment of a fuzzy regression method.
Keywords :
fuzzy set theory; pricing; regression analysis; risk analysis; stock markets; Canadian commodities; capital asset pricing model; commodity market risk premium estimation; fuzzy regression method; market portfolio; price limits; systematic risk estimation; weighting scheme; Econometrics; Electric shock; Feeds; Fuzzy systems; Least squares approximation; Parameter estimation; Phase estimation; Portfolios; Pricing; Yield estimation;
Conference_Titel :
Fuzzy Information, 2004. Processing NAFIPS '04. IEEE Annual Meeting of the
Print_ISBN :
0-7803-8376-1
DOI :
10.1109/NAFIPS.2004.1337427
