On the role of commodity futures in portfolio diversification

DOI10.1111/ITOR.13067OpenAlexW3207734455MaRDI QIDQ6079982FDOQ6079982

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

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

This page was built for publication: On the role of commodity futures in portfolio diversification

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6079982)