Diversifying portfolios of U.S. stocks with crude oil and natural gas : a regime-dependent optimization with several risk measures
Hayette Gatfaoui
| Year of publication: |
2019
|
|---|---|
| Authors: | Gatfaoui, Hayette |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 80.2019, p. 132-152
|
| Subject: | Copula | Energy commodity | Portfolio optimization | Stock market | Tail risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Aktienmarkt | Erdöl | Petroleum | USA | United States | Rohstoffderivat | Commodity derivative | Multivariate Verteilung | Multivariate distribution | Volatilität | Volatility | Kapitaleinkommen | Capital income | Risiko | Risk | Erdgas | Natural gas |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.12.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012172340