Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?

C-Tier

Journal: Journal of Empirical Finance

Year: 2020

Volume: 58

Issue: C

Pages: 164-180

Authors (4)

Rad, Hossein (not in RePEc) Low, Rand Kwong Yew (not in RePEc) Miffre, Joëlle (not in RePEc) Faff, Robert (University of Queensland)

Score contribution per author:

0.252 = (α=2.02 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count