The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets (Q4991049): Difference between revisions

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scientific article; zbMATH DE number 7353658

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English	The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets	scientific article; zbMATH DE number 7353658

Statements

instance of

scholarly article

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title

The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets (English)

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2 June 2021

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zbMATH Keywords

higher moments

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commodity futures

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portfolio management

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2019.1687926

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cites work

A test for independence based on the correlation dimension

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Priced risk and asymmetric volatility in the cross section of skewness

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Portfolio selection with higher moments

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CONSISTENT EXPECTATIONS EQUILIBRIA AND COMPLEX DYNAMICS IN RENEWABLE RESOURCE MARKETS

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Q4241015

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Mean-variance portfolio optimization when means and covariances are unknown

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The likelihood of various stock market return distributions. II: Empirical results

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Identifiers

zbMATH Open document ID

1466.91296

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DOI

10.1080/14697688.2019.1687926

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4991049

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+W2990818918
@@ Property / OpenAlex ID: W2990818918 / rank @@
+Normal rank
@@ Property / cites work @@
+A test for independence based on the correlation dimension
+Normal rank
@@ Property / cites work @@
+Priced risk and asymmetric volatility in the cross section of skewness
+Normal rank
@@ Property / cites work @@
+Portfolio selection with higher moments
@@ Property / cites work: Portfolio selection with higher moments / rank @@
+Normal rank
@@ Property / cites work @@
+CONSISTENT EXPECTATIONS EQUILIBRIA AND COMPLEX DYNAMICS IN RENEWABLE RESOURCE MARKETS
+Normal rank
@@ Property / cites work @@
+Q4241015
@@ Property / cites work: Q4241015 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio optimization when means and covariances are unknown
+Normal rank
@@ Property / cites work @@
+The likelihood of various stock market return distributions. II: Empirical results
+Normal rank
@@ Property / Wikidata QID @@
+Q126655010
@@ Property / Wikidata QID: Q126655010 / rank @@
+Normal rank