Can commodities dominate stock and bond portfolios?

DOI10.1007/S10479-018-2996-7MaRDI QIDQ2288932zbMATH OpenOpenAlexWikidataFDO

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

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

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

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Cites work

• A quantitative comparison of risk measures
• Comparison methods for stochastic models and risks
• Dual Stochastic Dominance and Related Mean-Risk Models
• Effects of index-fund investing on commodity futures prices
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Introduction to risk parity and budgeting
• Modeling, measuring and managing risk
• Optimization with Stochastic Dominance Constraints
• Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
• Processing second-order stochastic dominance models using cutting-plane representations
• Stochastic finance. An introduction in discrete time
• Stochastic multi-objective optimization: a survey on non-scalarizing methods
• Testing for stochastic dominance efficiency
• The dynamics of commodity prices

Cited in

(6)

• Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19
• Connection between higher order measures of risk and stochastic dominance
• Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs
• Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework
• Including commodity futures in asset allocation in China
• Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help?

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