Robust portfolios with commodities and stochastic interest rates

DOI10.1080/14697688.2020.1859603zbMATH Open1479.91355OpenAlexW3127856990MaRDI QIDQ5014231FDOQ5014231

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Publication date: 1 December 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1859603

zbMATH Keywords

ambiguity aversioncommodity marketsmultivariate portfolio choicewelfare-equivalent losses

Mathematics Subject Classification ID

Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Robust portfolio choice with stochastic interest rates
• Matrix Riccati equations in control and systems theory
• Optimal investment for an insurer with cointegrated assets: CRRA utility
• Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
• Dynamic portfolio choice under ambiguity and regime switching mean returns
• Portfolio management with stochastic interest rates and inflation ambiguity
• Portfolio optimization with ambiguous correlation and stochastic volatilities
• Dynamic derivative strategies with stochastic interest rates and model uncertainty

Cited In (2)

• Model uncertainty on commodity portfolios, the role of convenience yield
• Portfolio selection with contrarian strategy

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