Portfolio Diversification, Futures Markets, and Uncertain Consumption Prices
在允许多样化和通胀对冲作为投机动机的模型中，检验了期货市场凯恩斯-希克斯正常交割延期假说的稳健性，并提出了该假说成立的条件。
Abstract This paper examines the robustness of the Keynes‐Hicks backwardation hypothesis for futures markets in a model that admits diversification and inflation protection as speculative motives. It presents a criterion in terms of the correlation of futures price with anticipated consumption net of other asset holdings for the Keynes‐Hicks proposition to be true. The paper finds the effect of changes in net wealth and commodity demand on the risk premium, spread, open interest, and storage.