Abstract : This papers develops a partial equilibrium model of the convenience yield risk premium. Contrary to the previous literature, the risk premium is computed explicitely and endogenously. We provide a decomposition of the convenience yield risk premium in terms of the volatility of the convenience yield as well as in terms of the sensitivity of the marginal utility of investors to the movements of the convenience yield. This decomposition enables us to assess the impact of the risk aversion and investment horizon of investors on the futures contracts' basis and on the term structure of volatility for our illustration carried out in the case of the copper market.
https://hal-rbs.archives-ouvertes.fr/hal-00657807
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Soumis le : lundi 9 janvier 2012 - 11:57:56
Dernière modification le : lundi 18 mai 2015 - 12:55:09
Sami Attaoui, Vincent Lacoste, Pierre Six. A partial equilibrium for the convenience yield risk premium. 50th Annual Meeting of the Southwestern Finance Association (SWFA), Mar 2011, Houston, United States. 〈hal-00657807〉
