Permutation-weighted portfolios and the efficiency of commodity futures markets
type: Item
instance of: scholarly article
title: Permutation-weighted portfolios and the efficiency of commodity futures markets
author: Ricardo Fernholz
author: E. Robert Fernholz
published in: Annals of Finance
publication date: 2023-04-27T00:00:00Z
full work available at URL: https://arxiv.org/abs/2001.06914
Mathematics Subject Classification ID: 91Gxx
zbMATH DE Number: 7680347
zbMATH Keywords: stochastic portfolio theory
zbMATH Keywords: functionally generated portfolios
zbMATH Keywords: market efficiency
zbMATH Keywords: swap portfolios
zbMATH Keywords: reverse-weighted portfolios
zbMATH Keywords: permutation-weighted portfolios
zbMATH Keywords: first-order model
zbMATH Keywords: commodity futures
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W4221119032
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DOI: 10.1007/S10436-021-00401-8
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description: scientific article; zbMATH DE number 7680347