
Benjamin Hoff – Commodity Futures Surfaces and the Cash-and-Carry Glue (S7E17)
Flirting with Models
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Decoding Commodity Risk Premiums
This chapter explores the complexities of commodity strategies, questioning the existence of a true risk premium for long-only investors. It emphasizes the need for sophisticated analysis of individual markets and introduces a two-dimensional surface model to understand various investment styles. The discussion also highlights the challenges of skewness and value in commodity trading, as well as the significant differences between contracts for physically distinct products.
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