Robust portfolios with commodities and stochastic interest rates

DOI10.1080/14697688.2020.1859603zbMath1479.91355OpenAlexW3127856990MaRDI QIDQ5014231

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Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1859603

zbMATH Keywords

ambiguity aversioncommodity marketsmultivariate portfolio choicewelfare-equivalent losses

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items

Model uncertainty on commodity portfolios, the role of convenience yield

Cites Work

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