Adrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre: This paper proposes a commodity-based specification of the Intertemporal CAPM (ICAPM) that uses state variables grounded on the theories of storage and hedging pressure.
Auckland University of Technology, Auckland
Cass Business School, City University, London
EDHEC Business School, Nice
|Type :||Working paper|
|Date :||le 07/04/2014|
|Complément d'informations||For more information, please contact EDHEC Research and Development Department [ [email protected] ]|
|Pôle de recherche||Finance|