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Efficient Asset Portfolios and the Theory of Normal Backwardation: A Comment

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  • Marcus, Alan J

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  • Marcus, Alan J, 1984. "Efficient Asset Portfolios and the Theory of Normal Backwardation: A Comment," Journal of Political Economy, University of Chicago Press, vol. 92(1), pages 162-164, February.
  • Handle: RePEc:ucp:jpolec:v:92:y:1984:i:1:p:162-64
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    Cited by:

    1. K. Smimou, 2013. "On the significance testing of fuzzy regression applied to the CAPM: Canadian commodity futures evidence," International Journal of Applied Management Science, Inderscience Enterprises Ltd, vol. 5(2), pages 144-171.
    2. Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
    3. Smimou, Kamal, 2006. "Estimation of Canadian commodity market risk premiums under price limits: Two-phase fuzzy approach," Omega, Elsevier, vol. 34(5), pages 477-491, October.
    4. Shafiqur Rahman & M. Shahid Ebrahim, 2005. "The Futures Pricing Puzzle," Computing in Economics and Finance 2005 35, Society for Computational Economics.
    5. Joelle Miffre, 2003. "The cross section of expected futures returns and the Keynesian hypothesis," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 731-739.
    6. Kocagil, Ahmet E. & Topyan, Kudret, 1997. "An empirical note on demand for speculation and futures risk premium: A Kalman Filter application," Review of Financial Economics, Elsevier, vol. 6(1), pages 77-93.
    7. Blank, Steven C., 1989. "Research On Futures Markets: Issues, Approaches, And Empirical Findings," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(01), July.
    8. James D. Hamilton & Jing Cynthia Wu, 2015. "Effects Of Index‚ÄźFund Investing On Commodity Futures Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 187-205, February.
    9. Hurduzeu, Gheorghe & Hurduzeu, Raluca, 2013. "International Diversification of the Asset Portfolio by Investing in Agricultural Commodities. Why Not Use the CAPM Futures Markets?," 135th Seminar, August 28-30, 2013, Belgrade, Serbia 160384, European Association of Agricultural Economists.
    10. Urcola, Hernan A. & Irwin, Scott H., 2006. "Has the Performance of the Hog Options Market Changed?," 2006 Annual meeting, July 23-26, Long Beach, CA 21479, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    11. Baur, Robert Frederick, 1992. "Overreaction in futures markets," ISU General Staff Papers 1992010108000010973, Iowa State University, Department of Economics.

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