Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?
Year of publication: |
2020
|
---|---|
Authors: | Rad, Hossein ; Low, Rand Kwong Yew ; Miffre, Joëlle ; Faff, Robert W. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 58.2020, p. 164-180
|
Subject: | Equal weights | Long-short portfolios | Optimized weights | Risk-timing weights |
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