Effects of full collateralization in commodity futures investments
نویسندگان
چکیده
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 investments, indicating that both more efficient collateral and investment management may improve performance. Journal of Derivatives & Hedge Funds (2011) 16, 253–266. doi:10.1057/jdhf.2010.19 & 2011 Macmillan Publishers Ltd. 1753-9641 Journal of Derivatives & Hedge Funds Vol. 16, 4, 253–266 www.palgrave-journals.com/jdhf/
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تاریخ انتشار 2011