A Bayesian perspective on commodity style integration
Ana-Maria Fuertes, Nan Zhao
Year of publication: |
2023
|
---|---|
Authors: | Fuertes, Ana María ; Zhao, Nan |
Published in: |
Journal of commodity markets. - Amsterdam : Elsevier, ISSN 2405-8513, ZDB-ID 3067450-5. - Vol. 30.2023, p. 1-29
|
Subject: | Commodity risk premia | Style integration | Long-short portfolio | Parameter estimation risk | Bayesian portfolio optimization | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Risikoprämie | Risk premium | Theorie | Theory | Rohstoffderivat | Commodity derivative | Marktintegration | Market integration | Risikomaß | Risk measure |
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