Blar i NTNU Open på forfatter "Henriksen, Tom Erik Sønsteng"

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    • Can commodities dominate stock and bond portfolios? 

      Henriksen, Tom Erik Sønsteng; Pichler, Alois; Westgaard, Sjur; Frydenberg, Stein (Journal article; Peer reviewed, 2018)
      In this article we discuss whether commodities should be included as an asset class when establishing portfolios. By investigating second order stochastic dominance relations, we find that the stock and bond indices tend ...

    • Hedge Funds as a Diversification Vehicle 

      Mikkelsen, Andreas; Kjærland, Frode; Henriksen, Tom Erik Sønsteng (Journal article; Peer reviewed, 2019)
      This study evaluates the out-of-sample diversification benefits of including hedge fund indexes in global stock-bond portfolios. The topic is investigated by assessing several asset allocation strategies from 1998 to 2016. ...

    • Modeling the multivariate dynamic dependence structure of commodity futures portfolios 

      Aepli, Matthias, D.; Füss, Roland; Henriksen, Tom Erik Sønsteng; Paraschiv, Florentina (Journal article, 2017)
      This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the ...