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Futures, spots, stocks and bonds: Multi‐asset portfolio analysis

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  • Haim Levy

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  • Haim Levy, 1987. "Futures, spots, stocks and bonds: Multi‐asset portfolio analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(4), pages 383-395, August.
    • Handle: RePEc:wly:jfutmk:v:7:y:1987:i:4:p:383-395
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    Cited by:

    1. Wan-Yi Chiu, 2020. "The global minimum variance hedge," Review of Derivatives Research, Springer, vol. 23(2), pages 121-144, July.
    2. Lu Wang & Ferhana Ahmad & Gong-li Luo & Muhammad Umar & Dervis Kirikkaleli, 2022. "Portfolio optimization of financial commodities with energy futures," Annals of Operations Research, Springer, vol. 313(1), pages 401-439, June.
    3. Berger, Theo & Czudaj, Robert L., 2020. "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).

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