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
The Use of Portfolios in Evaluation—Revisited
✍ Scribed by JAMIE S. CARNEY; DEBRA C. COBIA; DAVID M. SHANNON
- Publisher
- American Counseling Association
- Year
- 1996
- Tongue
- English
- Weight
- 191 KB
- Volume
- 36
- Category
- Article
- ISSN
- 0011-0035
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