Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula
研究了如何利用多元偏斜t copula构建远期运费协议的最大效用投资组合，发现该模型能有效捕捉合约收益的尾部依赖和不对称相关性，对市场参与者的风险管理有重要参考价值。
Abstract We form portfolios consisting of diverse quarterly forward freight agreement (FFA) contracts to maximize the market participant's expected utility. The empirical findings indicate that individual FFA returns display clear autocorrelation, seasonality, fat tail, and heteroscedasticity. The multivariate positively skewed t copula is suggested for constructing maximum utility FFA portfolios, implying that the constituent FFA returns exhibit higher correlations when they rise together. The out‐of‐sample trading strategy performance metrics and various robustness checks further indicate that the aforementioned copula performs best and robustly for all portfolios. These findings provide profound methodological and managerial implications for market participants to improve risk management.