Portfolio stress testing applied to commodity futures

DOI10.1007/S10287-020-00370-9OpenAlexW2908883189MaRDI QIDQ2221465

Stine Marie Reese, Margrethe Ringkjøb Skjelstad, Florentina Paraschiv

Publication date: 2 February 2021

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-020-00370-9

zbMATH Keywords

extreme value theoryrisk measuresstress testingcopula functionscommodity futures

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (1)

A tail-revisited Markowitz mean-variance approach and a portfolio network centrality

Uses Software

• QRM

Cites Work

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