Risk, Interest Rates, and the Forward Exchange

Siegel, J. J. (1972). Risk, Interest Rates, and the Forward Exchange.

Type

Unclassified

Intellectual base

Unclassified

Year

1972

DOI

10.2307/1880565

Link

https://doi.org/10.2307/1880565

Cited by

1 citation across 1 artifact.

Domain-specific

• Siegel's paradox
  • Siegel's paradox arises because Jensen's inequality generally makes E[X] and 1/E[1/X] differ, so each of two agents using its own consumption numeraire can calculate an expected gain from exchanging currencies or goods.

Verification

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Registry ID ref:a9d961d9cd52 · see in the full table