Portfolio Diversification with Commodity Futures: Properties of Levered Futures
نویسندگان
چکیده
منابع مشابه
Effects of full collateralization in commodity futures investments
The study extends research on the impact of commodity futures investments on portfolio performance by incorporating levered futures directly into the optimization problem. Differences in portfolio performance between fully collateralized and levered futures arise primarily in the presence of investment constraints. The attractiveness of portfolios is also affected by differences in commodity in...
متن کاملFinancial Crisis and Financialization Acuity on the Diversification Benefits of Commodities: a Stochastic Asset Allocation Framework
This research investigates the portfolio diversification benefits of commodities in the backdrop of uncertainty caused by the financial crisis, increased Financialization and speculation in commodity markets. Portfolios are formed out of varied asset classes comprise of equity, bond, infra structure, commodity spot & futures indices and sectoral indices such as agri, metals and energy sectors o...
متن کاملCommodity Risk Factors and the Cross-Section of Equity Returns
The article examines whether commodity risk is priced in the cross-section of equity returns. Alongside a long-only equally-weighted portfolio of commodity futures, we employ as an alternative commodity risk factor a term structure portfolio that captures the propensity of commodity futures markets to be backwardated or contangoed. Equity-sorted portfolios with greater sensitivities to the two ...
متن کاملPricing of Commodity Futures Contract by Using of Spot Price Jump-Diffusion Process
Futures contract is one of the most important derivatives that is used in financial markets in all over the world to buy or sell an asset or commodity in the future. Pricing of this tool depends on expected price of asset or commodity at the maturity date. According to this, theoretical futures pricing models try to find this expected price in order to use in the futures contract. So in this ar...
متن کاملOptimal portfolios in commodity futures markets
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when investing in futures contracts. We study a class of futures price curve models which admit a finite-dimensional realization. Using this, we recast the portfol...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2005