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Optimal portfolios in commodity futures markets

✍ Scribed by Benth, Fred Espen; Lempa, Jukka

Book ID
121574842
Publisher
Springer-Verlag
Year
2014
Tongue
English
Weight
749 KB
Volume
18
Category
Article
ISSN
0949-2984

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πŸ“œ SIMILAR VOLUMES

Optimal portfolios for commodity futures
Optimal portfolios for commodity futures funds
✍ B. Wade Brorsen; Louis P. Lukac πŸ“‚ Article πŸ“… 1990 πŸ› John Wiley and Sons 🌐 English βš– 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

Efficient use of commodity futures in di
Efficient use of commodity futures in diversified portfolios
✍ Jensen, Gerald R.; Johnson, Robert R.; Mercer, Jeffrey M. πŸ“‚ Article πŸ“… 2000 πŸ› John Wiley and Sons 🌐 English βš– 189 KB πŸ‘ 2 views

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