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.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code:

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.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code:

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.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code: