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Convenience yield and the theory of storage : applying an option-based approach
Omura, Akihiro; West, Jason - In: The Australian journal of agricultural and resource … 59 (2015) 3, pp. 355-374
Persistent link: https://www.econbiz.de/10011392918
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Commodity Option Implied Volatilities and the Expected Futures Returns
Gao, Lin - 2019
The detrended implied volatility of commodity options (VOL) forecasts the cross section of the commodity futures returns significantly. A zero-cost strategy that is long in low VOL and short in high VOL commodities yields an annualized return of 12.66% and a Sharpe ratio of 0.69. Notably, the...
Persistent link: https://www.econbiz.de/10014122276
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Understanding momentum in commodity markets
Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402
Persistent link: https://www.econbiz.de/10010203400
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Combining momentum with reversal in commodity futures
Bianchi, Robert; Drew, Michael E.; Fan, John Hua - In: Journal of banking & finance 59 (2015), pp. 423-444
Persistent link: https://www.econbiz.de/10011544644
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Portfolio Optimization of Commodity Futures with Seasonal Components and Higher Moments
Bjerring, Thomas - 2016
-of-sample analysis with ten commodities and a stock index using the classical tangency mean-variance model and the maximum Omega ratio …
Persistent link: https://www.econbiz.de/10012979237
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A trend factor in commodity futures markets : any economic gains from using information over investment horizons?
Han, Yufeng; Kong, Lingfei - In: The journal of futures markets 42 (2022) 5, pp. 803-822
Persistent link: https://www.econbiz.de/10013187602
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The alpha momentum effect in commodity markets
Zaremba, Adam; Mikutowski, Mateusz; Szczygielski, Jan Jakub - In: Energy economics 93 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012643310
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Commodities returns' volatility in financialization era
Handika, Rangga; Putra, Iswahyudi Sondi - In: Studies in economics and finance 34 (2017) 3, pp. 344-362
Persistent link: https://www.econbiz.de/10011961063
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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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Portfolio management of commodity trading advisors with volatility-targeting
Molyboga, Marat - In: The journal of investment strategies 8 (2019) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10012426117