This study uses risk-neutral-probability(RNP,thereafter)to forecast future excepted profits in copper,gold,and platinum group metals.The RNP measures are advantageous where ones want to compare values of the same asse...This study uses risk-neutral-probability(RNP,thereafter)to forecast future excepted profits in copper,gold,and platinum group metals.The RNP measures are advantageous where ones want to compare values of the same asset in different states.At the heart of this study is using future profits based on a binomial tree,which has RNPs.Overall,RNP profits converge more to the future-normal profits.And,the robustness results based on the vector autoregressive(hereon,VAR)model reveal that the profits react differently to different shocks stages from revenues,risk-free interest rates and profits.The findings of this study apply to copper,gold,and platinum mining around the globe.展开更多
文摘This study uses risk-neutral-probability(RNP,thereafter)to forecast future excepted profits in copper,gold,and platinum group metals.The RNP measures are advantageous where ones want to compare values of the same asset in different states.At the heart of this study is using future profits based on a binomial tree,which has RNPs.Overall,RNP profits converge more to the future-normal profits.And,the robustness results based on the vector autoregressive(hereon,VAR)model reveal that the profits react differently to different shocks stages from revenues,risk-free interest rates and profits.The findings of this study apply to copper,gold,and platinum mining around the globe.
