González-Pedraz, Carlos; Moreno, Manuel; Peña, Juan … - In: Quantitative Finance 15 (2015) 1, pp. 151-170
This article investigates the portfolio selection problem of an investor with three-moment preferences taking positions in commodity futures. To model the asset returns, we propose a conditional asymmetric <italic>t</italic> copula with skewed and fat-tailed marginal distributions, such that we can capture the...