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A Markowitz Optimization of Commodity Futures Portfolios

✍ Scribed by LEYUAN YOU; ROBERT T. DAIGLER

Book ID
112095559
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
975 KB
Volume
33
Category
Article
ISSN
0270-7314

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We provide evidence on the role of commodity futures in portfolios comprised of stocks, bonds, T-bills, and real estate. Over the period investigated , Markowitz optimization over a range of risk levels gives substantial weight to commodity futures, thereby enhancing the portfolios' returns. We find

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## Abstract Foreign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in a time‐varying portfolio framework. Foreign exchange futures are by far the most important derivative instrument used to reduce uncertainty for traders. Our results lend support to the