Portfolio optimization of financial commodities with energy futures

DOI10.1007/s10479-021-04283-xzbMath1489.91241OpenAlexW3210530367MaRDI QIDQ2150875

Ferhana Ahmad, Dervis Kirikkaleli, Lu Wang, Gong-li Luo, Muhammad Awais Umar

Publication date: 30 June 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04283-x

zbMATH Keywords

risk managementmean-variance analysisefficient frontierportfolio diversificationcommodity futuresenergy futures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Multi-objective and goal programming (90C29) Quadratic programming (90C20) Management decision making, including multiple objectives (90B50) Portfolio theory (91G10)

Related Items (2)

Financial modeling, risk management of energy and environmental instruments and derivatives: past, present, and future ⋮ The Markowitz's mean-variance interpretation under the efficient market hypothesis in the context of critical recession periods

Cites Work

• Robust portfolios: contributions from operations research and finance
• Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
• Multiple criteria linear programming model for portfolio selection
• Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth
• Financial modelling, risk management of energy instruments and the role of cryptocurrencies
• A new method for mean-variance portfolio optimization with cardinality constraints
• Incorporating environmental and social considerations into the portfolio optimization process
• A Minimax Portfolio Selection Rule with Linear Programming Solution

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