| 03.01.2008 Opalesque Exclusive: New paper: Is Managed Futures an Asset Class? The Search for the Beta of Commodity Futures, research suggests financial models have shortcomings when analyzing the commodity futures markets |
| Co-author and Opalesque reader Mack Frankfurter has provided this new research which investigates potential sources of return to speculators in the commodity futures market. Initially, we focus on the “classic arbitrage model” based on the theories of Keynes (1930), Kaldor (1939), Hicks (1939, 1946), Working (1948) and Brennan (1958). Next our study examines the “simplified |
| Article source: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1029243 - Opalesque is not responsible for the content of external internet sites |