Including commodity futures in asset allocation in China

DOI10.1080/14697688.2018.1444554MaRDI QIDQ5026528zbMATH OpenOpenAlexFDO

Authors Qingfu Liu, Yiuman Tse, Linlin Zhang

Publication date 8 February 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2018.1444554

zbMATH Keywords

asset allocationChinese commodity futuresportfolio gainsrisk spillovers

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Portfolio selection with higher moments

Cited in

(3)

• Can commodities dominate stock and bond portfolios?
• The spillovers of jump risk and investment value
• Macroeconomic news, the financial cycle and the commodity cycle: the Chinese footprint

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