Portfolio selection with commodities under conditional copulas and skew preferences
DOI10.1080/14697688.2014.935463zbMATH Open1398.62300OpenAlexW3122629612MaRDI QIDQ4683000FDOQ4683000
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Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2014.935463
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Cited In (6)
- Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†
- The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets
- Portfolio optimization with serially correlated, skewed and fat tailed index returns
- Portfolio optimization of energy commodity futures returns with minimum information copula
- A generalized error distribution copula-based method for portfolios risk assessment
- Hedges or safe havens -- revisit the role of gold and USD against stock: a multivariate extended skew-\(t\) copula approach
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