Should investors include commodities in their portfolios after all? New evidence

This paper investigates whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes. First, we revisit the posed question within an in-sample setting by employing mean–variance and non-mean–variance spanning tests. Then, we form optimal p...

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Bibliographic Details
Published in:Journal of banking & finance 2011-10, Vol.35 (10), p.2606-2626
Main Authors: Daskalaki, Charoula, Skiadopoulos, George
Format: Article
Language:English
Subjects:
Asset allocation
Asset allocation Commodity boom Commodity futures Commodity indexes Spanning Performance evaluation
Commodities
Commodity boom
Commodity futures
Commodity indexes
Diversification
Investors
Performance evaluation
Portfolio performance
Portfolio selection
Portfolio-Management
Portfolios
Rates of return
Rohstoffderivat
Spanning
Studies
Transaction costs
Utility functions
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