Diversification benefits of commodities: A stochastic dominance efficiency approach
نویسندگان
چکیده
منابع مشابه
Diversification benefits of commodities: A stochastic dominance efficiency approach
We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the necessity to posit a specific utility function to describe investor's preferences and it does not impo...
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T paper develops the first operational tests of portfolio efficiency based on the general stochastic dominance (SD) criteria that account for an infinite set of diversification strategies. The main insight is to preserve the cross-sectional dependence of asset returns when forming portfolios by reexpressing the SD criteria in T -dimensional Euclidean space, with elements representing rates of r...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2017
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2017.07.004