Factor based commodity investing
Year of publication: |
2020
|
---|---|
Authors: | Sakkas, Athanasios ; Tessaromatis, Nikolaos P. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 115.2020, p. 1-19
|
Subject: | Basis | Basis-Momentum | Commodities | Commodity return predictability | Factor premia | Momentum | Variance timing | Rohstoffderivat | Commodity derivative | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Rohstoffmarkt | Commodity market | Portfolio-Management | Portfolio selection | Warenbörse | Commodity exchange | Rohstoffpreis | Commodity price | CAPM | Schätzung | Estimation |
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