A Bayesian perspective on commodity style integration
Ana-Maria Fuertes, Nan Zhao
| Year of publication: |
2023
|
|---|---|
| Authors: | Fuertes, Ana María ; Zhao, Nan |
| Published in: |
Journal of commodity markets. - Amsterdam : Elsevier, ISSN 2405-8513, ZDB-ID 3067450-5. - Vol. 30.2023, p. 1-29
|
| Subject: | Commodity risk premia | Style integration | Long-short portfolio | Parameter estimation risk | Bayesian portfolio optimization | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Risikoprämie | Risk premium | Rohstoffderivat | Commodity derivative | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2023.100328 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014426739