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Professionally Managed, Publicly Traded Commodity Funds
4 references·16 citing·48 second hop
Professionally Managed, Publicly Traded Commodity Funds (1987)Professionally Managed, Publicly Traded C…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION (1976)SIMPLE CRITERIA FOR OPTIMAL P…Stock prices, inflation, and the term structure of interest rates (1974)Stock prices, inflation, and …On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis (2021)On the higher-order moment in…Price Explosiveness, Speculation, and Grain Futures Prices (2014)Price Explosiveness, Speculat…Editor's Choice Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors (2014)Editor's Choice Fooling Some …Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors (2008)Fooling Some of the People Al…The Tactical and Strategic Value of Commodity Futures (2005)The Tactical and Strategic Va…A selected review of agricultural commodity futures and options markets (2004)A selected review of agricult…Who Trades Futures and How: Evidence from the Heating Oil Futures Market (2002)Who Trades Futures and How: E…The behavior and performance of major types of futures traders (2002)The behavior and performance …Hedge Fund and Commodity Fund Investments in Bull and Bear Markets (2001)Hedge Fund and Commodity Fund…The Value Added from Investment Managers: An Examination of Funds of REITs (2000)The Value Added from Investme…Hedge Funds versus Managed Futures as Asset Classes (1999)Hedge Funds versus Managed Fu…Commodity futures markets: a survey (1999)Commodity futures markets: a …Survivor bias in commodity trading advisor performance (1996)Survivor bias in commodity tr…Do managed futures make good investments? (1996)Do managed futures make good …Luck Versus Forecast Ability: Determinants of Trader Performance in Futures Markets (1991)Luck Versus Forecast Ability:…A test of futures market disequilibrium using twelve different technical trading systems (1988)A test of futures market dise…An Intertemporal Capital Asset Pricing Model (1973)Continuous Auctions and Insider Trading (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Fundamentals, Trader Activity and Derivative Pricing (2008)Commodity Investing (2012)The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETS (1976)Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas (1987)The Variation of Certain Speculative Prices (1963)Forecasting foreign exchange rates using recurrent neural networks (1996)Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets (2007)Can commodity futures be profitably traded with quantitative market timing strategies? (2007)American Economic Review (2019)Portfolio Selection (1952)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)How to Use Security Analysis to Improve Portfolio Selection (1973)Delegated portfolio management (1985)A Brief History of Downside Risk Measures (1999)Multi-objective stochastic programming for portfolio selection (2005)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Impact of macroeconomic news on metal futures (2011)Co-movement of oil and stock prices in the GCC region: A wavelet analysis (2012)Does gold offer a better protection against losses in sovereign debt bonds than other metals? (2014)On the Impossibility of Informationally Efficient Markets (1980)Efficient Capital Markets: II (1991)Pre‐Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures (2008)Quantifying the WASDE Announcement Effect (2012)Agricultural commodity futures prices prediction via long- and short-term time series network (2019)Offshore Hedge Funds: Survival and Performance 1989-1995 (1997)The Performance of Hedge Funds: Risk, Return, and Incentives (1999)Global Hedge Funds: Risk, Return, and Market Timing (2002)Which precious metals spill over on which, when and why? Some evidence (2014)Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Hedging Pressure Effects in Futures Markets (2000)Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports (2004)The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? (2010)Financialization and Structural Change in Commodity Futures Markets (2012)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)
this work references cited by second hop

References

  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1976SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION317 cited
  • 1974Stock prices, inflation, and the term structure of interest rates218 cited

Cited by

  • 2002Who Trades Futures and How: Evidence from the Heating Oil Futures Market144 cited
  • 2001Hedge Fund and Commodity Fund Investments in Bull and Bear Markets135 cited
  • 2005The Tactical and Strategic Value of Commodity Futures130 cited
  • 1988A test of futures market disequilibrium using twelve different technical trading systems129 cited
  • 2004A selected review of agricultural commodity futures and options markets128 cited
  • 2002The behavior and performance of major types of futures traders119 cited
  • 2000The Value Added from Investment Managers: An Examination of Funds of REITs114 cited
  • 1999Commodity futures markets: a survey112 cited
  • 1991Luck Versus Forecast Ability: Determinants of Trader Performance in Futures Markets107 cited
  • 2014Price Explosiveness, Speculation, and Grain Futures Prices99 cited
  • 1996

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Survivor bias in commodity trading advisor performance
96 cited
  • 2021On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis76 cited
  • 2014Editor's Choice Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors73 cited
  • 1996Do managed futures make good investments?70 cited
  • 1999Hedge Funds versus Managed Futures as Asset Classes68 cited
  • 2008Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors60 cited