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Portfolio optimization of financial commodities with energy futures
16 references·2 citing·40 second hop
Portfolio optimization of financial commodities with energy futures (2021)Portfolio optimization of financial commo…Financial implications of fourth industrial revolution: Can bitcoin improve prospects of energy investment? (2020)Financial implications of fou…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014)Modeling volatility and corre…Crude oil hedging strategies using dynamic multivariate GARCH (2011)Crude oil hedging strategies …Robust portfolios: contributions from operations research and finance (2009)Robust portfolios: contributi…How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Oil and the Macroeconomy Since the 1970s (2004)Oil and the Macroeconomy Sinc…Multiple criteria linear programming model for portfolio selection (2000)Multiple criteria linear prog…Efficient use of commodity futures in diversified portfolios (2000)Efficient use of commodity fu…A Minimax Portfolio Selection Rule with Linear Programming Solution (1998)A Minimax Portfolio Selection…Risk and Return in Commodity Futures (1980)Risk and Return in Commodity …The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…Mutual Fund Performance (1966)Mutual Fund PerformanceThe Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…Portfolio Selection (1952)Portfolio SelectionTime-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China (2022)Time-frequency connectedness …Financial modeling, risk management of energy and environmental instruments and derivatives: past, present, and future (2022)Financial modeling, risk mana…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Heuristics for cardinality constrained portfolio optimisation (2000)Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk: optimization algorithms and applications (2002)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)The Fundamentals of Commodity Futures Returns (2012)What does futures market interest tell us about the macroeconomy and asset prices? (2012)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Testing for a Unit Root in Time Series Regression (1988)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021)Geopolitical risk and dynamic connectedness between commodity markets (2022)The Role of Monetary Policy (1995)Postwar U.S. Business Cycles: An Empirical Investigation (1997)What is an Oil Shock? (2000)Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)What do we learn from the price of crude oil futures? (2010)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)Financialization of Commodity Markets (2013)“Options, Futures, and Other Derivatives” (2016)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Hedging and the Competitive Firm under Price Uncertainty (1979)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Evaluating Natural Resource Investments (1985)The Strategic and Tactical Value of Commodity Futures (2006)On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)The hedging effect of green bonds on carbon market risk (2020)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
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References

  • 1952Portfolio Selection4,609 cited
  • 1966Mutual Fund Performance3,935 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2004Oil and the Macroeconomy Since the 1970s1,137 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2006How Profitable Is Capital Structure Arbitrage?476 cited
  • 1980Risk and Return in Commodity Futures416 cited
  • 1998A Minimax Portfolio Selection Rule with Linear Programming Solution406 cited
  • 2014Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat321 cited
  • 2011Crude oil hedging strategies using dynamic multivariate GARCH305 cited
  • 2009Robust portfolios: contributions from operations research and finance246 cited
  • 2020Financial implications of fourth industrial revolution: Can bitcoin improve prospects of energy investment?234 cited
  • 2000Efficient use of commodity futures in diversified portfolios188 cited

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  • 2000Multiple criteria linear programming model for portfolio selection175 cited
  • Cited by

    • 2022Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China48 cited
    • 2022Financial modeling, risk management of energy and environmental instruments and derivatives: past, present, and future17 cited