Regret-aversion over different maturities: application to energy futures markets

DOI10.1016/J.ECONLET.2024.111812zbMATH Open1546.91232MaRDI QIDQ6594848

Makram Bellalah, Ephraim Clark, Amine Ben Amar

Publication date: 29 August 2024

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

portfolio selectionregretenergy futures markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Markowitz with regret
• Statistics and Data Analysis for Financial Engineering
• The dynamics of commodity prices

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