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Commodity index risk premium

Author

Listed:
  • Cortazar, Gonzalo
  • Ortega, Hector
  • Rojas, Maximiliano
  • Schwartz, Eduardo S.

Abstract

Increasingly commodities have become an asset class in a process called financialization. Many institutional investors, looking for ways to expand their diversification opportunities, are holding positions in a commodity futures index and use them as a performance benchmark. Thus, institutional commodity holdings in commodities has expanded significantly.

Suggested Citation

  • Cortazar, Gonzalo & Ortega, Hector & Rojas, Maximiliano & Schwartz, Eduardo S., 2021. "Commodity index risk premium," Journal of Commodity Markets, Elsevier, vol. 22(C).
    • Handle: RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300337
    DOI: 10.1016/j.jcomm.2020.100156
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    References listed on IDEAS

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    Cited by:

    1. Gong, Xu & Xu, Jun & Liu, Tangyong & Zhou, Zicheng, 2022. "Dynamic volatility connectedness between industrial metal markets," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).

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    More about this item

    Keywords

    Commodity portfolios; Risk premiums; GSCI index; Futures; Expected prices;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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