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Efficient asset portfolios and the theory of normal backwardation

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  • Carter, Colin A.
  • Rausser, Gordon C.
  • Schmitz, Andrew

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  • Carter, Colin A. & Rausser, Gordon C. & Schmitz, Andrew, 1982. "Efficient asset portfolios and the theory of normal backwardation," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt59c8m4x6, Department of Agricultural & Resource Economics, UC Berkeley.
    • Handle: RePEc:cdl:agrebk:qt59c8m4x6
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    References listed on IDEAS

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    1. Stoll, Hans R., 1979. "Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(4), pages 873-894, November.
    2. Paul H. Cootner, 1960. "Returns to Speculators: Telser versus Keynes," Journal of Political Economy, University of Chicago Press, vol. 68(4), pages 396-396.
    3. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
    4. Schrock, Nicholas W, 1971. "The Theory of Asset Choice: Simultaneous Holding of Short and Long Positions in the Futures Market," Journal of Political Economy, University of Chicago Press, vol. 79(2), pages 270-293, March-Apr.
    5. Rockwell, Charles S., 1967. "Normal Backwardation, Forecasting, and the Return to Commodity Futures Traders," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 7(Supplemen), pages 1-24.
    6. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    7. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    8. Dusak, Katherine, 1973. "Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1387-1406, Nov.-Dec..
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