Estimating the term structure of commodity market preferences

DOI10.1016/J.EJOR.2019.10.009MaRDI QIDQ2286907zbMATH OpenOpenAlexWikidataFDO

Authors George A. Christodoulakis

Publication date 23 January 2020

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://www.research.manchester.ac.uk/portal/en/publications/estimating-the-term-structure-of-commodity-market-preferences(43d6f498-7fc9-4c43-936a-757ca7c2ea66).html

zbMATH Keywords

preferencesloss functionsoptimismforecast decision

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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Cites work

• Can exchange rates forecast commodity prices?
• Detecting and Predicting Forecast Breakdowns
• Downside Loss Aversion and Portfolio Management
• Effects of index-fund investing on commodity futures prices
• Eliciting von Neumann-Morgenstern Utilities When Probabilities Are Distorted or Unknown
• Estimating risk preferences of bettors with different bet sizes
• Estimation and Testing of Forecast Rationality under Flexible Loss
• Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics
• Likelihood estimation of consumer preferences in choice-based conjoint analysis
• Predicting the equity premium with dividend ratios
• Preferences estimation without approximation
• Review of guidelines for the use of combined forecasts
• The efficiency of financial futures markets: tests of prediction accuracy.

Cited in

(2)

• Time-consistent portfolio optimization
• A stochastic optimal stopping model for storable commodity prices

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