Preference to Oil Spot or Oil Futures for Risk-Seekers

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Preference to Oil Spot or Oil Futures for Risk-Seekers

This paper develops the stochastic dominance (SD) tests for risk seekers, We find both MV criterion and CAPM mesures unable to draw any conclusive preference between the returns but our SD results show that spot dominates futures in the downside risk while futures dominate spot in the upside profit....

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Bibliographic Details
Main Authors:	Hooi , Hooi Lean, Michael , McAleer, Wing , Keung Wong
Format:	Conference or Workshop Item
Language:	English
Published:	Universiti Sains Malaysia 2006
Subjects:	H Social Sciences
Online Access:	http://eprints.usm.my/30827/ http://eprints.usm.my/30827/1/Preference_to_Oil_Spot_or_Oil_Futures_for_Risk_Seekers.pdf

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