Can commodities dominate stock and bond portfolios?

DOI10.1007/S10479-018-2996-7zbMATH Open1433.91156OpenAlexW2886777256WikidataQ129411167 ScholiaQ129411167MaRDI QIDQ2288932FDOQ2288932

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

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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)

Cites Work

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