Optimal portfolios for commodity futures
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B. Wade Brorsen; Louis P. Lukac
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Article
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1990
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John Wiley and Sons
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English
β 699 KB
ommodity futures funds are an important part of today's futures markets. Orga-C nized as limited partnerships, these funds range in size from a few hundred thousand up to several hundred million dollars in capital. With this capital, Brorsen and Irwin (1987) estimated funds held an average of 23% of