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Fundamentals of Sharpe ratios in storable commodity markets

https://doi.org/10.2139/ssrn.4617101
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.eneco.2015.01.015openalex-extracted
Expected commodity returns and pricing models
inferredcites →https://doi.org/10.1017/s0022109020000204openalex-extracted
Dynamics of Arbitrage
inferredcites →https://doi.org/10.1023/b:redr.0000017026.28316.c8openalex-extracted
Theory of Storage and the Pricing of Commodity Claims
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05114.xopenalex-extracted
Stochastic Convenience Yield and the Pricing of Oil Contingent Claims
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02721.xopenalex-extracted
The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00799.xopenalex-extracted
Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates
inferredcites →https://doi.org/10.1111/jofi.12845openalex-extracted
A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
inferredcites →https://doi.org/10.1137/0325086openalex-extracted
Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
inferredcites →https://doi.org/10.1287/mnsc.2018.3035openalex-extracted
Commodity Price Forecasts, Futures Prices, and Pricing Models
inferredcites →https://doi.org/10.7764/tesisuc/ing/48241openalex-extracted
Commodity index risk premium
inferredcites →https://doi.org/10.1093/rof/rfs019openalex-snapshot
The Fundamentals of Commodity Futures Returns
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