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Equilibrium forward curves for commodities
Routledge, Bryan R.; Seppi, Duane J.; Spatt, Chester S. - In: The journal of finance : the journal of the American … 55 (2000) 3, pp. 1297-1338
Persistent link: https://www.econbiz.de/10001497602
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A portfolio insurance strategy for commodity futures
Lo, Chia Chun; Skindilias, Konstantinos - In: International journal of financial engineering and risk … 1 (2013) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10010197980
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Optimal Portfolios in commodity futures markets
Benth, Fred Espen; Lempa, Jukka - In: Finance and stochastics 18 (2014) 2, pp. 407-430
Persistent link: https://www.econbiz.de/10010340676
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Stress-testing for portfolios of commodity futures
Paraschiv, Florentina; Mudry, Pierre-Antoine; Andrieş, … - In: Economic modelling 50 (2015), pp. 9-18
Persistent link: https://www.econbiz.de/10011439604
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Portfolio speculation and commodity price volatility in a stochastic storage model
Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532
Persistent link: https://www.econbiz.de/10010411908
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Liquidity commonality in commodities
Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat - In: Journal of banking & finance 37 (2013) 1, pp. 11-20
Persistent link: https://www.econbiz.de/10009675559
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Multi-period VaR-constrained portfolio optimization with applications to the electric power sector
Kleindorfer, Paul R.; Li, Lide - In: The energy journal 26 (2005) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10002643010
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Optimal Portfolios in Commodity Futures Markets
Benth, Fred Espen - 2012
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when investing in futures contracts. We study a class of...
Persistent link: https://www.econbiz.de/10013107869
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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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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