Portfolio selection with commodities under conditional copulas and skew preferences
研究投资者在商品期货中考虑三阶矩偏好时的组合选择问题，提出条件非对称t Copula模型，实证发现该模型优于传统策略。
This article investigates the portfolio selection problem of an investor with three-moment preferences taking positions in commodity futures. To model the asset returns, we propose a conditional asymmetric t copula with skewed and fat-tailed marginal distributions, such that we can capture the impact on optimal portfolios of time-varying moments, state-dependent correlations, and tail and asymmetric dependence. In the empirical application with oil, gold and equity data from 1990 to 2010, the conditional t copulas portfolios achieve better performance than those based on more conventional strategies. The specification of higher moments in the marginal distributions and the type of tail dependence in the copula has significant implications for the out-of-sample portfolio performance.