Comments on: Factor momentum in commodity futures markets by Yiyan Qian, Ying Jiang and Xiaoquan Liu
Keywords
Commodity markets, Return autocorrelation, Mispricing, Factor enhancement, Conditional asset pricing, Mean–variance optimization.
2024 Meeting of the World Finance & Banking Symposium, Abu Dhabi School of Management
December 2024
Abu Dhabi, United Arab Emirates
Commodity markets, Return autocorrelation, Mispricing, Factor enhancement, Conditional asset pricing, Mean–variance optimization.