Efficient use of commodity futures in di
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Jensen, Gerald R.; Johnson, Robert R.; Mercer, Jeffrey M.
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Article
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2000
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John Wiley and Sons
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English
β 189 KB
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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