A M arkowitz Optimization of Commodity Futures Portfolios

Abstract

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 Markowitz portfolios, investigate the instability between the ex‐ante and ex‐post results, and compare our results to traditional and naïve portfolios. The ex‐ante complete futures portfolio dominates the traditional and naive portfolios and the ex‐post portfolio outperforms the naïve portfolio. The instability between the ex‐ante and ex‐post results is primarily driven by the time‐varying returns of the individual assets rather than by risk. Finally, the Sharpe portfolio results are essentially identical to the Markowitz results. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:343‐368, 2013

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 56 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.