The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets

DOI10.1080/14697688.2019.1687926zbMath1466.91296OpenAlexW2990818918WikidataQ126655010 ScholiaQ126655010MaRDI QIDQ4991049

Yunbi An, Keith C. K. Cheung, Qingfu Liu, Pan Jiang

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1687926

zbMATH Keywords

portfolio managementcommodity futureshigher moments

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Mean-variance portfolio optimization when means and covariances are unknown
• The likelihood of various stock market return distributions. II: Empirical results
• Priced risk and asymmetric volatility in the cross section of skewness
• CONSISTENT EXPECTATIONS EQUILIBRIA AND COMPLEX DYNAMICS IN RENEWABLE RESOURCE MARKETS
• Portfolio selection with higher moments
• A test for independence based on the correlation dimension

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