Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
Constantin Mellios, Pierre Six, Anh Ngoc Lai
| Year of publication: |
2016
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|---|---|
| Authors: | Mellios, Constantin ; Six, Pierre ; Anh Ngoc Lai |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 250.2016, 2 (16.4.), p. 493-504
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| Subject: | Commodity spot prices | Futures prices | Convenience yield | Stochastic market prices of risk | Dynamic portfolio optimization | Rohstoffderivat | Commodity derivative | Hedging | Theorie | Theory | Portfolio-Management | Portfolio selection | Warenbörse | Commodity exchange | Spekulation | Speculation | Rohstoffpreis | Commodity price | Stochastischer Prozess | Stochastic process | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.10.045 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011441684