✦ LIBER ✦

Futures, spots, stocks and bonds: Multi-asset portfolio analysis

✍ Scribed by Haim Levy

Book ID: 102843909
Publisher: John Wiley and Sons
Year: 1987
Tongue: English
Weight: 691 KB
Volume: 7
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990070404

No coin nor oath required. For personal study only.

✦ Synopsis

Haim Levy

wo-asset portfolio models dictate the hedge ratio that minimizes the portfolio T risk. The hedge ratio is the number of futures contracts which should be sold for each unit of the cash market position.

In this article, we study the multi-asset efficient portfolio compositions which include futures positions, spot positions, as well as stocks and bonds. In spite of being highly correlated, an investor who wishes to minimize the portfolio risk may hold spot and futures of a given commodity in the same sign, unlike the result that has been found in the two-asset portfolio case. *The author wishes to thank the helpful comments of two anonymous referees of this journal and Robert Brooks and Deborah Wright for their comments and technical assistance.

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