Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Gatfaoui, Hayette

We build a portfolio encompassing U.S. crude oil, natural gas and stocks to study the diversification power of energy commodities. Such diversification power depends on the joint dependence structure of the three types of assets. According to Gatfaoui (2016a), the dependence structure is time-varying because individual asset returns exhibit several...

Mbodji, Oumar Nguyen Huu, Adrien Pirvu, Traian A.

We study an intra-household decision process in the Merton financial portfolio problem.This writes as an optimal consumption-investment problem in finite horizon for the case of two separate consumption streams and a shared final wealth, in a linear social welfare setting. We show that the aggregate problem for multiple agents can be linearly separ...

Mbodji, Oumar Nguyen Huu, Adrien Pirvu, Traian A.

We study an intra-household decision process in the Merton financial portfolio problem.This writes as an optimal consumption-investment problem in finite horizon for the case of two separate consumption streams and a shared final wealth, in a linear social welfare setting. We show that the aggregate problem for multiple agents can be linearly separ...

Mbodji, Oumar Nguyen Huu, Adrien Pirvu, Traian A.

We study an intra-household decision process in the Merton financial portfolio problem.This writes as an optimal consumption-investment problem in finite horizon for the case of two separate consumption streams and a shared final wealth, in a linear social welfare setting. We show that the aggregate problem for multiple agents can be linearly separ...