Understanding the sources of risk underlying the cross section of commodity returns
Year of publication: |
2019
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Authors: | Bakshi, Gurdip S. ; Gao, Xiaohui ; Rossi, Alberto |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 65.2019, 2, p. 619-641
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Subject: | commodity asset pricing models | carry | momentum | innovations in equity volatility | speculative activity | Kapitaleinkommen | Capital income | CAPM | Volatilität | Volatility | Schätzung | Estimation | Spekulation | Speculation | Theorie | Theory | Risikoprämie | Risk premium | Portfolio-Management | Portfolio selection | Rohstoffderivat | Commodity derivative |
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