Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?
Yue-Jun Zhang, Jia-Juan Lin
| Year of publication: |
2019
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|---|---|
| Authors: | Zhang, Yue-Jun ; Lin, Jia-Juan |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 66.2019, p. 1-11
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| Subject: | Commodity portfolio | Genetic algorithm | LASSO regression | MRS model | VAR model | Portfolio-Management | Portfolio selection | Theorie | Theory | VAR-Modell | Risikomaß | Risk measure | Anlageverhalten | Behavioural finance | Risikopräferenz | Risk attitude | Rohstoffmarkt | Commodity market | Regressionsanalyse | Regression analysis | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2019.101395 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012209039