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The Efficient Use of Conditioning Information in Portfolios

✍ Scribed by Wayne E. Ferson and Andrew F. Siegel

Book ID
123709263
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
329 KB
Volume
56
Category
Article
ISSN
0022-1082

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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