The Theory of Asset Choice
Simultaneous Holding of Short and Long Positions in the Futures Market
Bibliographic Data
| ID | 10173709 |
|---|---|
| Authors | Nicholas W Schrock (corresponding author) |
| Year | 1971 |
| Volume | 79 |
| Issue | 2 |
| Pages | 270-293 |
| Publication date | 1971-03-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0022-3808 • E-ISSN: 1537-534X |
| Publisher | University of Chicago Press (PUBLISHER • US) |
| DOI | 10.1086/259743 |
| OpenAlex | W1971100925 |
| Language | EN |
| Citations received | 1 |
| References cited | 2 |
Following the expected returns-variance of returns hypothesis of investment behavior, the model of speculative activity developed here establishes conditions leading to the holding of a particular future (asset) with a negative expected rate of return. Such action is rational when the holding of the particular future on which the investor expects to suffer a loss sufficiently reduces the risk associated with his overall position in the market. Certain characteristics of the commodity futures market make it likely that these conditions prevail quite frequently for the large speculator. This reconciles rational economic behavior with the tendency for large speculators to undertake straddle operations
Asset (computer security · Econometrics · Economics · Financial economics · Futures contract · Futures market · Investment (military · Microeconomics · Monetary economics · Position (finance · Rational expectations · Speculation · Straddle · Complex Systems and Time Series Analysis · Finance · Financial Markets and Investment Strategies · Market Dynamics and Volatility
| Unique citing works | 1 |
|---|---|
| Citations per year | 0,02 |
| Citation span | 1973 - 1973 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |