๐”– Bobbio Scriptorium
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Approximating Large Diversified Portfolios

โœ Scribed by Norbert Hofmann; Eckhard Platen


Book ID
108550455
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
275 KB
Volume
10
Category
Article
ISSN
0960-1627

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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