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Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
Nakajima, Katsushi - In: Annals of finance 18 (2022) 1, pp. 35-80
Persistent link: https://www.econbiz.de/10013194631
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Commodity cycles and financial instability in emerging economies
Andreev, Michail; Peiris, M. Udara; Širobokov, Aleksandr; … - In: Annals of finance 20 (2024) 2, pp. 167-197
Persistent link: https://www.econbiz.de/10014566411
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On the implied market price of risk under the stochastic numéraire
Dokučaev, Nikolaj G. - In: Annals of finance 14 (2018) 2, pp. 223-251
Persistent link: https://www.econbiz.de/10011945595
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Model uncertainty on commodity portfolios, the role of convenience yield
Chen, Junhe; Escobar, Marcos - In: Annals of finance 17 (2021) 4, pp. 501-528
Persistent link: https://www.econbiz.de/10012664148
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Optimal trading of a basket of futures contracts
Angoshtari, Bahman; Leung, Tim - In: Annals of finance 16 (2020) 2, pp. 253-280
Persistent link: https://www.econbiz.de/10012496334
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Constrained dynamic futures portfolios with stochastic basis
Chen, Xiaodong; Leung, Tim; Zhou, Yang - In: Annals of finance 18 (2022) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10013194629
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Permutation-weighted portfolios and the efficiency of commodity futures markets
Fernholz, Ricardo T.; Fernholz, Robert - In: Annals of finance 18 (2022) 1, pp. 81-108
Persistent link: https://www.econbiz.de/10013194634