Commodity Futures Selection
The article finds that traditional sample covariance matrix performs better in portfolio selection than both naive allocation and advanced covariance estimators, challenging previous equity-focused studies.
Featured in No. 80 on 1 Jan 2025 · on release day
- Released
- 1 Jan 2025
- First featured
- No. 80 · 1 Jan 2025
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- Identifier
- RePEc:wly:jfutmk:v:45:y:2025:i:1:p:3-22
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