Optimal versus naive diversification in commodity futures markets
Max Heide, Benjamin R. Auer, Frank Schuhmacher
| Year of publication: |
2025
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|---|---|
| Authors: | Heide, Max ; Auer, Benjamin R. ; Schuhmacher, Frank |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 45.2025, 1, p. 3-22
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| Subject: | commodity futures | covariance estimation | diversification | mean-variance optimization | Rohstoffderivat | Commodity derivative | Portfolio-Management | Portfolio selection | Diversifikation | Diversification | Theorie | Theory | Korrelation | Correlation | Warenbörse | Commodity exchange | Hedging | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22550 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015376385