Portfolio Diversification in Extreme Environments: Are There Benefits from Adding Commodity Future Indices?
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References listed on IDEAS
- Cheung, C. Sherman & Miu, Peter, 2010. "Diversification benefits of commodity futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 451-474, December.
- Demidova-Menzel, Nadeshda & Heidorn, Thomas, 2007. "Commodities in asset management," Frankfurt School - Working Paper Series 81, Frankfurt School of Finance and Management.
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More about this item
Keywords
Commodity Futures; Equity Markets; Sharpe Ratios; Frontier Equity; Optimum Portfolio;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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