Model uncertainty on commodity portfolios, the role of convenience yield

DOI10.1007/s10436-021-00393-5zbMath1477.91047OpenAlexW3177679367MaRDI QIDQ2063057

Marcos Escobar Anel, Junhe Chen

Publication date: 10 January 2022

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-021-00393-5

zbMATH Keywords

ambiguity aversioncommodity marketsmultivariate portfolio choicewelfare-equivalent losses

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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