Permutation-weighted portfolios and the efficiency of commodity futures markets
Year of publication: |
2022
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Authors: | Fernholz, Ricardo T. ; Fernholz, Robert |
Published in: |
Annals of finance. - Heidelberg : Springer, ISSN 1614-2454, ZDB-ID 2172262-6. - Vol. 18.2022, 1, p. 81-108
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Subject: | Commodity futures | First-order model | Functionally generated portfolios | Market efficiency | Permutation-weighted portfolios | Reverse-weighted portfolios | Stochastic portfolio theory | Swap portfolios | Portfolio-Management | Portfolio selection | Theorie | Theory | Rohstoffderivat | Commodity derivative | Effizienzmarkthypothese | Efficient market hypothesis | Warenbörse | Commodity exchange |
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