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Gas storage valuation and hedging: A quantification of model risk
Hénaff, Patrick; Laachir, Ismail; Russo, Francesco - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-27
facts of the US natural gas market such as seasonality and the presence of price spikes in the spot market. Secondly, we …
Persistent link: https://www.econbiz.de/10011996092
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Robust optimization-based commodity portfolio performance
Adhikari, Ramesh; Putnam, Kyle J.; Panta, Humnath - In: International Journal of Financial Studies 8 (2020) 3, pp. 1-17
This paper examines the performance of a näive equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and...
Persistent link: https://www.econbiz.de/10013200301
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Financialization in commodity markets : disentangling the crisis from the style effect
Adams, Zeno; Glück, Thorsten - 2014
, has changed the behavior and dependence structure between commodities and the general stock market. The common perception … argue that commodities have become an investment style for institutional investors. Given that institutional investors … continue to target funds into commodities, we predict spillovers between commodities and the stock market to remain high in the …
Persistent link: https://www.econbiz.de/10010410769
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Commodities, financialization, and heterogeneous agents
Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016 - This version: April 5, 2016
The term `financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...
Persistent link: https://www.econbiz.de/10011448180
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Robust optimization-based commodity portfolio performance
Adhikari, Ramesh; Putnam, Kyle J.; Panta, Humnath - In: International Journal of Financial Studies : open … 8 (2020) 3/54, pp. 1-17
This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and...
Persistent link: https://www.econbiz.de/10012291900
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Gas storage valuation and hedging : a quantification of model risk
Hénaff, Patrick; Laachir, Ismail; Russo, Francesco - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-27
facts of the US natural gas market such as seasonality and the presence of price spikes in the spot market. Secondly, we …
Persistent link: https://www.econbiz.de/10011857266
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Commodity derivatives pricing with inventory effects
Bach, Christian; Dziubinski, Matt P. - School of Economics and Management, University of Aarhus - 2012
We introduce tractable models for commodity derivatives pricing with inventory and volatility effects, and illustrate with applications to the oil market. We contribute to the existing literature in several respects. First, whereas the previous literature uses futures data for investigating the...
Persistent link: https://www.econbiz.de/10009652368
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The role of financial investments in agricultural commodity derivatives markets
Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012
agricultural commodities. We first provide a broad picture of how these markets function and how they have evolved, showing that …
Persistent link: https://www.econbiz.de/10009645788
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Strategic asset allocation and intertemporal demands: with commodities as an asset class
Su, Yongyang; Lau, Marco Chi Keung - Volkswirtschaftliche Fakultät, … - 2010
This paper analyzes the role of commodities in the process of strategic asset allocation, with an attempt of computing … the weight of commodities relative to traditional assets in a multi-period portfolio choice problem and understanding the … commodities in the long horizons, even when they have access to foreign equity markets, for example, foreign stock market. Our …
Persistent link: https://www.econbiz.de/10008693540
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The Economics of Financial Derivative Instruments
NWAOBI, GODWIN C - Volkswirtschaftliche Fakultät, … - 2008
The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors...
Persistent link: https://www.econbiz.de/10005621718