Can commodities dominate stock and bond portfolios?
From MaRDI portal
Publication:2288932
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
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?
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Processing second-order stochastic dominance models using cutting-plane representations
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- A quantitative comparison of risk measures
- Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
- Testing for Stochastic Dominance Efficiency
- Optimization with Stochastic Dominance Constraints
- Dual Stochastic Dominance and Related Mean-Risk Models
- EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES
- The dynamics of commodity prices
- Stochastic finance. An introduction in discrete time
- Stochastic multi-objective optimization: a survey on non-scalarizing methods
This page was built for publication: Can commodities dominate stock and bond portfolios?