An essential motive for investing in commodities is to enhance the performance of portfolios
traditionally including only stocks and bonds. We analyze the in-sample and out-of-sample …

" The antecedent to the present work is Marian Radetzki's book A Guide to Primary
Commodities in the World Economy, published by Blackwell in 1990, three decades ago. In …

The aim of the paper is to analyze the diversification effect brought by crude oil Futures
contracts, the most liquid commodity Futures, into a portfolio of stocks. The studies that have …

Direct commodity investment has historically been a minor part of investors' asset allocation.
In recent years, however, investible commodity indices and commodity-linked assets have …

We examine the diversification benefits of using individual futures contracts instead of simply
a commodity index. We determine the ex‐ante, ex‐post, and stability results for optimal M …

We utilize wavelet coherency methodology with simulated confidence bounds to examine
the short-term and long-term dependencies of the returns for S&P 500 and the S&P GSCI® …

We consider the effect of higher moments on diversification, since most assets possess a
potential for tail losses. In particular, we examine higher‐moment Value‐at‐Risk measures …

We investigate whether employing individual commodity futures provides a superior
optimized risk-return strategy relative to an equity portfolio, in spite of recently increasing …

The population of exchange-traded funds (ETFs) has exploded in recent years, with ETFs in
a vast array of portfolios tied to specific asset classes, industries, active and passive trading …

The traditional choice of asset allocation includes stocks, bonds, liquidity and real estate. In
the last five years, as a result of the effects of speculative bubble and the growth of interest …