Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

About this item

Title

Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

Content partner

University of Canterbury Library

Collection

UC Research Repository

Description

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests show that spot dominates futures in the downside risk, while futures dominate spot in the upside profit. On the other hand, the SD findings suggest that spot dominates futures in downside risk, while fut...

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Format

Research paper

Research format

Working or discussion paper

Date created

2013

Creator

Lean, H.H. / McAleer, M. / Wong, W-K.

URL

http://hdl.handle.net/10092/8692

Related subjects

stochastic dominance / mean-variance / risk averter / risk seeker / futures market / spot market. / Commerce, management, tourism and services / Banking, finance and investment / Investment and risk management / Financial econometrics

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You can learn more about the rights status of this item at: https://hdl.handle.net/10092/17651

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