On the estimation of commodity market risk premium under price limits

摘要

This paper extends the estimation of market risk premium under price limits in two important directions. The first is to provide estimates of systematic risk for Canadian commodities futures (western barley, canola, flaxseed, feed wheat) using a market portfolio based on a similar weighting scheme suggested by Marcus (1984). The second is to estimate systematic risk with the induction of price limits in the capital asset pricing model (CAPM) and the deployment of a fuzzy regression method.