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A Markowitz Optimization of Commodity Futures Portfolios

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  • Leyuan You
  • Robert T. Daigler

Abstract

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Suggested Citation

  • Leyuan You & Robert T. Daigler, 2013. "A Markowitz Optimization of Commodity Futures Portfolios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(4), pages 343-368, April.
    • Handle: RePEc:wly:jfutmk:v:33:y:2013:i:4:p:343-368
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    Citations

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    Cited by:

    1. Massimo Guidolin & Manuela Pedio, 2021. "Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?," Annals of Operations Research, Springer, vol. 299(1), pages 1317-1356, April.
    2. Yan, Lei & Garcia, Philip, 2017. "Portfolio investment: Are commodities useful?," Journal of Commodity Markets, Elsevier, vol. 8(C), pages 43-55.
    3. Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2022. "The strategic allocation to style-integrated portfolios of commodity futures," Journal of Commodity Markets, Elsevier, vol. 28(C).
    4. Imhotep Paul Alagidede & Gideon Boako & Bo Sjo, 2021. "African equity markets’ exposure to oil and other commodities - implications for global portfolio diversification," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(2), pages 288-315, April.
    5. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
    6. Sercan Demiralay & Selcuk Bayraci & H. Gaye Gencer, 2019. "Time-varying diversification benefits of commodity futures," Empirical Economics, Springer, vol. 56(6), pages 1823-1853, June.
    7. Massimo Guidolin & Manuela Pedio, 2018. "Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors," BAFFI CAREFIN Working Papers 1886, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    8. Wan-Yi Chiu, 2021. "Mean-variance hedging in the presence of estimation risk," Review of Derivatives Research, Springer, vol. 24(3), pages 221-241, October.
    9. Živkov, Dejan & Manić, Slavica & Gajić-Glamočlija, Marina, 2024. "How do precious and industrial metals hedge oil in a multi-frequency semiparametric CVaR portfolio?," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    10. Tom Erik Sønsteng Henriksen & Alois Pichler & Sjur Westgaard & Stein Frydenberg, 2019. "Can commodities dominate stock and bond portfolios?," Annals of Operations Research, Springer, vol. 282(1), pages 155-177, November.
    11. Wan-Yi Chiu, 2020. "The global minimum variance hedge," Review of Derivatives Research, Springer, vol. 23(2), pages 121-144, July.
    12. Lu Wang & Ferhana Ahmad & Gong-li Luo & Muhammad Umar & Dervis Kirikkaleli, 2022. "Portfolio optimization of financial commodities with energy futures," Annals of Operations Research, Springer, vol. 313(1), pages 401-439, June.
    13. Berger, Theo & Czudaj, Robert L., 2020. "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    14. repec:ajn:abrjou:2019:p:17-28 is not listed on IDEAS
    15. Anja Vinzelberg & Benjamin R. Auer, 2022. "Unprofitability of food market investments," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(7), pages 2887-2910, October.
    16. Dejan Živkov & Suzana Balaban & Marijana Joksimović, 2022. "Making a Markowitz portfolio with agricultural commodity futures," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(6), pages 219-229.
    17. Ruano, Fábio & Barros, Victor, 2022. "Commodities and portfolio diversification: Myth or fact?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 281-295.

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