Optimal commodity asset allocation with a coherent market risk modeling
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References listed on IDEAS
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- Wilford, D. Sykes, 2012. "True Markowitz or assumptions we break and why it matters," Review of Financial Economics, Elsevier, vol. 21(3), pages 93-101.
More about this item
KeywordsCommodity; Financial crisis; Financial engineering; Liquidity risk; Portfolio management;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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