Comments on: Factor momentum in commodity futures markets by Yiyan Qian, Ying Jiang and Xiaoquan Liu

Venue

2024 Meeting of the World Finance & Banking Symposium, Abu Dhabi School of Management

Date

December 2024

Location

Abu Dhabi, United Arab Emirates


Keywords

Commodity markets, Return autocorrelation, Mispricing, Factor enhancement, Conditional asset pricing, Mean–variance optimization.