Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed <i>t</i> copula-Reference-Cited by-同舟云学术

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Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula

Published:2022-09-12 Issue:1 Volume:43 Page:69-89
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Gong Yuting¹,Wang Xueqin²,Zhu Mo³,Ge Ying‐En⁴,Shi Wenming⁵^ORCID

Affiliation:

1. SILC Business School Shanghai University Shanghai China

2. Department of International Logistics Chung‐Ang University Seoul South Korea

3. College of Transport and Communications Shanghai Maritime University Shanghai China

4. College of Transportation Engineering Chang'an University Xi'an Shaanxi China

5. Maritime and Logistics Management, Australian Maritime College University of Tasmania Newnham Australia

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22378

Reference62 articles.

1. Baltic Exchange index changes and FFA hedging efficiency

2. Explaining price differences between physical and derivative freight contracts

3. Hedging ship price risk using freight derivatives in the drybulk market

4. Multivariate modeling and analysis of regional ocean freight rates

5. Shipping risk management practice revisited: A new portfolio approach

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