Similar Search Results

Portfolio stress testing applied to commodity futures

Paraschiv, Florentina; Reese, Stine Marie; Skjelstad, … - In: Computational management science 17 (2020) 2, pp. 203-240

Persistent link: https://www.econbiz.de/10012272062

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

The measurement of tracking errors of commodity ETFs in China

Pan, Wei-Fong; Li, Ting - In: Investment management and financial innovations 13 (2016) 2, pp. 184-188

Persistent link: https://www.econbiz.de/10011665444

Commodity risk management

Till, Hilary - In: Journal of governance and regulation : international … 5 (2016) 3, pp. 11-18

Persistent link: https://www.econbiz.de/10011673647

Hedging and non-hedging trading strategies on commodities using the d-Backtest PS method : optimized trading system hedging

Vezeris, Dimitrios Th.; Kyrgos, Themistoklis S.; … - In: Investment management and financial innovations 15 (2018) 3, pp. 351-369

Persistent link: https://www.econbiz.de/10012055584

Commodity market based hedging against stock market risk in times of financial crisis : the case of crude oil and gold

Junttila, Juha; Pesonen, Juho; Raatikainen, Juhani - In: Journal of international financial markets, … 56 (2018), pp. 255-280

Persistent link: https://www.econbiz.de/10011984168

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

Bitcoin for energy commodities before and after the December 2013 crash : diversifier, hedge or safe haven?

Bouri, Elie; Jalkh, Naji; Molnár, Peter; Roubaud, David - In: Applied economics 49 (2017) 50, pp. 5063-5073

Persistent link: https://www.econbiz.de/10011844889

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

Portfolio co-integration dynamics of metal and energy commodities : evidence from India

Purankar, Shriram Anil; Singh, Vipul Kumar - In: International journal of management practice : IJMP 10 (2017) 3, pp. 273-294

Persistent link: https://www.econbiz.de/10011796555