Portfolio selection with commodities under conditional copulas and skew preferences

DOI10.1080/14697688.2014.935463MaRDI QIDQ4683000zbMATH OpenOpenAlexFDO

Authors

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

zbMATH Keywords

portfolio selectioncommodity futuresconditional copulasskew preferences

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

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• Continuous time portfolio selection under conditional capital at risk
• On the robustness of portfolio allocation under copula misspecification

Cites work

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• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A note on the impact of nonlinear reward and risk measures
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• An introduction to copulas.
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• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Global optimization of statistical functions with simulated annealing
• Measures of multivariate skewness and kurtosis with applications
• Portfolio selection based on a simulated copula
• Portfolio selection with higher moments
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• The Stationary Bootstrap
• The t Copula and Related Copulas

Cited in

(7)

• A generalized error distribution copula-based method for portfolios risk assessment
• Portfolio stress testing applied to commodity futures
• Portfolio optimization of energy commodity futures returns with minimum information copula
• Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†
• Portfolio optimization with serially correlated, skewed and fat tailed index returns
• Hedges or safe havens -- revisit the role of gold and USD against stock: a multivariate extended skew-\(t\) copula approach
• The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets

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• QRM

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