On the role of commodity futures in portfolio diversification

DOI10.1111/ITOR.13067MaRDI QIDQ6079982zbMATH OpenOpenAlexFDO

Authors Hooi-Hooi Lean, Duc Khuong Nguyen, Ahmet Sensoy, Gazi Salah Uddin

Publication date 29 September 2023

Published in International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/itor.13067

zbMATH Keywords

stochastic dominancecommodity futuresportfolio diversificationequity markets

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites work

• A General Method for Constructing Simultaneous Confidence Intervals
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Conditional value‐at‐risk beyond finance: a survey
• Investigating volatility transmission across international equity markets using multivariate fractional models
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Test statistics for prospect and Markowitz stochastic dominances with applications
• Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets

Cited in

(1)

• Portfolio optimization of financial commodities with energy futures

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