Model uncertainty on commodity portfolios, the role of convenience yield
type: Item
instance of: scholarly article
title: Model uncertainty on commodity portfolios, the role of convenience yield
zbMATH Open document ID: 1477.91047
author: Junhe Chen
author: Marcos Escobar Anel
published in: Annals of Finance
publication date: 2022-01-10T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7454718
zbMATH Keywords: multivariate portfolio choice
zbMATH Keywords: ambiguity aversion
zbMATH Keywords: commodity markets
zbMATH Keywords: welfare-equivalent losses
MaRDI profile type: Publication
full work available at URL: s10436-021-00393-5
OpenAlex ID: W3177679367
cites work: Optimal portfolios in commodity futures markets
cites work: Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
cites work: Model Uncertainty in Commodity Markets
cites work: Robust portfolios with commodities and stochastic interest rates
cites work: Optimal investment for an insurer with cointegrated assets: CRRA utility
cites work: Risk, ambiguity and the Savage axioms
cites work: Optimal investment under multi-factor stochastic volatility
cites work: Robust portfolio choice with stochastic interest rates
cites work: Portfolio optimization with ambiguous correlation and stochastic volatilities
cites work: Maxmin expected utility with non-unique prior
cites work: Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
cites work: Optimal portfolios with stochastic interest rates and defaultable assets.
cites work: Dynamic portfolio choice under ambiguity and regime switching mean returns
cites work: Risk minimizing portfolios and HJBI equations for stochastic differential games
cites work: Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Portfolio management with stochastic interest rates and inflation ambiguity
cites work: A class of portfolio selection with a four-factor futures price model
DOI: 10.1007/S10436-021-00393-5
Recommended article: Model Uncertainty in Commodity Markets
Recommended article: Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
Recommended article: Q5450644
Recommended article: Valuation of commodity derivatives with an unobservable convenience yield
Recommended article: Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields
Recommended article: Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
Recommended article: Commodity derivative valuation under a factor model with time-varying market prices of risk
Recommended article: Commodity price modelling that matches current observables: a new approach
Recommended article: A four-factor stochastic volatility model of commodity prices
description: scientific article; zbMATH DE number 7454718