Can commodities dominate stock and bond portfolios?

DOI10.1007/s10479-018-2996-7zbMath1433.91156OpenAlexW2886777256WikidataQ129411167 ScholiaQ129411167MaRDI QIDQ2288932

Stein Frydenberg, Tom Erik Sønsteng Henriksen, Sjur Westgaard, Alois Pichler

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11250/2588455

zbMATH Keywords

stochastic dominanceasset allocationcommodities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (4)

Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework ⋮ Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs ⋮ Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19 ⋮ Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help?

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