The Skewness of Commodity Futures Returns

Discussion in 'Strategy Building' started by KCOJ, Jul 20, 2016.

  1. MarkBrown

    MarkBrown

    https://poseidon01.ssrn.com/deliver...0123021124105107104015109123106121114&EXT=pdf
     
    #31     Jun 24, 2019
  2. KevMo

    KevMo

    Similarly, as other published works suggest ultimately it becomes a "Bankroll" problem.

    Like Risk Premia & Carry, they work great until they don't. Regime change always...well, ya know, changes.

    Interesting extension of topic:

    https://arxiv.org/pdf/1409.7720.pdf
     
    #32     Jul 7, 2019