This paper studies the investment decisions of Spanish households using a unique data-set, the Spanish Survey of Household Finance (EFF). We propose a theoretical model in which households, given a fixed investment in housing, allocate their net wealth across bank time deposits, stocks and...

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...