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Grad School: Seminal Papers Every Serious Investor Should Read Computing the Market Price of Volatility Risk in the Energy Commodity Markets
Grad School: Seminal Papers Every Serious Investor Should Read
- The Impact of Index and Swap Funds on Commodity Futures Markets
- The Long And The Short Of It
- Computing the Market Price of Volatility Risk in the Energy Commodity Markets
- Structural Sources of Risk and Return in Commodity Futures Investment
- Strategic Asset Allocation and Commodities
- Strategic and Tactical Benefits of Owning Commodities in a Diversified Portfolio
- The Investment Case for Natural Resources
- Price Volatility, Liquidity Provision, and the Role of Managed Money Traders in Energy Futures Markets
- Commodities: A Case for Active Management
- The Tactical And Strategic Value Of Commodity Futures
Computing the Market Price of Volatility Risk in the Energy Commodity Markets
The importance of energy markets has increased with the development of futures and options markets, and with the always-important impact of energy on the economy. In this paper, Janes Doran and Ehud Ronn seek an in-depth understanding of priced volatility in the energy markets, as well as quantitatively displaying the mirror-image aspect of the energy and equity markets.
Download "Computing the Market Price of Volatility Risk in the Energy Commodity Markets" here
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