On the role of commodity futures in portfolio diversification

DOI10.1111/itor.13067OpenAlexW3207734455MaRDI QIDQ6079982

Gazi Salah Uddin, Ahmet Sensoy, Duc Khuong Nguyen, Hooi-Hooi Lean

Publication date: 29 September 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/itor.13067

zbMATH Keywords

stochastic dominanceportfolio diversificationcommodity futuresequity markets

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Test statistics for prospect and Markowitz stochastic dominances with applications
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A General Method for Constructing Simultaneous Confidence Intervals
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Investigating volatility transmission across international equity markets using multivariate fractional models
• Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets
• Conditional value‐at‐risk beyond finance: a survey

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