Diversifying portfolios of U.S. stocks with crude oil and natural gas : a regime-dependent optimization with several risk measures
Year of publication: |
2019
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Authors: | Gatfaoui, Hayette |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 80.2019, p. 132-152
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Subject: | Copula | Energy commodity | Portfolio optimization | Stock market | Tail risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | USA | United States | Multivariate Verteilung | Multivariate distribution | Aktienmarkt | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Erdgas | Natural gas | Risiko | Risk |
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