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Robust portfolios with commodities and stochastic interest rates
Chen, Junhe; Davison, Matt; Escobar, Marcos; Zafari, Golara - In: Quantitative finance 21 (2021) 6, pp. 991-1010
Persistent link: https://www.econbiz.de/10012515629
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Including commodity futures in asset allocation in China
Liu, Qingfu; Tse, Yiuman; Zhang, Linlin - In: Quantitative finance 18 (2018) 9, pp. 1487-1499
Persistent link: https://www.econbiz.de/10011913170
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The effectiveness of incorporating higher moments in portfolio strategies : evidence from the Chinese commodity futures markets
Liu, Qingfu; Jiang, Pan; An, Yunbi; Cheung, Keith C. K. - In: Quantitative finance 20 (2020) 4, pp. 653-668
Persistent link: https://www.econbiz.de/10012194912
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Bond flotation with exotic commodity collateral
Dempster, Michael A. H. - In: Quantitative finance 20 (2020) 12, pp. 1903-1925
Persistent link: https://www.econbiz.de/10012313526
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Pricing electricity day-ahead cap futures with multifactor skew-t densities
Matsumoto, Takuji; Bunn, Derek W.; Yamada, Yuji - In: Quantitative finance 22 (2022) 5, pp. 835-860
Persistent link: https://www.econbiz.de/10013367864