Diversification effect of commodity futures on financial markets

Diversification effect of commodity futures on financial markets

This paper examines the portfolio diversification effect of commodity futures on financial market products introducing a comprehensive evaluation standard of risk standardization, robustly small correlation, and risk-return tradeoff. Regarding risk standardization, we propose a definition of portfol...

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Bibliographic Details
Main Author: Takashi Kanamura
Format: Article
Language:English
Published: AIMS Press 2018-10-01
Series:Quantitative Finance and Economics
Subjects:
diversification effect| commodity futures| ɑ-stable distribution| dynamic conditional correlation model with exogenous variables| mean-CVaR portfolio optimization
Online Access:http://www.aimspress.com/article/10.3934/QFE.2018.4.821/fulltext.html

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http://www.aimspress.com/article/10.3934/QFE.2018.4.821/fulltext.html

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