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Computing the Market Price of Volatility Risk in the Energy Commodity Markets

Written by James S. Doran and Ehud I. Ronn

July 29, 2008 12:00 am EDT

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 Previous Next

 

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• Introduction
• What Are Commodities?
• What Kinds Of Commodities Exist?
• Why Invest In Commodities?
• Why Does Diversification Work?
• The Commodities Boom: Is It For Real?
• Understanding Inflation

• Futures: The Three Sources Of Returns
• Spot, Stock Or Future
• A Survey Of Hard Asset Investing Vehicles: Part 1
• A Survey Of Hard Asset Investing Vehicles: Part 2

• Gold Vs. Miners
• Energy Markets
• Alternative Energy: Can It Compete?
• Precious Metals
• The Special Case For Gold
• Industrial Metals
• Agricultural Markets
• Timber: Strong As An Oak
• Water: The Ultimate Commodity

• Sun Shines On Solar?
• The Price Isn’t Right
• Do Steel Futures Have A Future?
• It’s In The Wind
• Making Sense Of Commodity Products
• The Role Of Commodities And Timberland In An Institutional Portfolio
• China's Growth Means Coal Is The New Gold
• Is Managed Futures an Asset Class? The Search for Beta of Commodity Futures

• An Interview With Bob Greer
• An Interview With Brad Zigler
• Jim Rogers Discusses The Global Economy
• Craig Israelsen’s Seven-Asset Portfolio
• An Interview With Bruce Zaro
• An Interview With Chad Geraigiri
• Do ETNs Belong In Your Portfolio?
• An Interview With Nicholas Brooks
• An Interview With Victor Adair
• An Interview With Kevin Rich

• The Impact of Index and Swap Funds on Commodity Futures Markets
• The Long And The Short Of It
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• Alpha, Beta, and Commodities: Can a Commodities Investment be Both a High Risk-Adjusted Return Source and a Portfolio Hedge?
• Commodities: A Case for Active Management
• Price Volatility, Liquidity Provision, and the Role of Managed Money Traders in Energy Futures Markets
• Strategic Asset Allocation and Commodities
• Strategic and Tactical Benefits of Owning Commodities in a Diversified Portfolio
• Structural Sources of Risk and Return in Commodity Futures Investment
• The Investment Case for Natural Resources
• The Tactical And Strategic Value Of Commodity Futures