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A M arkowitz Optimization of Commodity Futures Portfolios
16 references·2 citing·35 second hop
A M arkowitz Optimization of Commodity Futures Portfolios (2012)A M arkowitz Optimization of Commodity Fu…Tactical allocation in commodity futures markets: Combining momentum and term structure signals (2010)Tactical allocation in commod…Conditional Correlation and Volatility in CommodityFutures and Traditional Asset Markets (2009)Conditional Correlation and V…Momentum strategies in commodity futures markets (2007)Momentum strategies in commod…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…A Great Company Can Be a Great Investment (2006)A Great Company Can Be a Grea…Bias and consistency of the maximum Sharpe ratio (2005)Bias and consistency of the m…The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors (2002)The Statistical Properties of…Multifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics (1998)Multifactor Analysis of Hedge…The Mean–Variance-Optimization Puzzle: Security Portfolios and Food Portfolios (1997)The Mean–Variance-Optimizatio…International portfolio diversification: a synthesis and an update (1997)International portfolio diver…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Risk and Return in Commodity Futures (1980)Risk and Return in Commodity …The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? (2020)Forecasting commodity futures…Portfolio investment: Are commodities useful? (2017)Portfolio investment: Are com…Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The Fundamentals of Commodity Futures Returns (2012)Financialization of Commodity Markets (2013)Momentum crashes (2016)A model of investor sentiment /Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Capturing the risk premium of commodity futures: The role of hedging pressure (2013)Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns (2017)Portfolio Selection: Efficient Diversification of Investments. (1962)Mutual Fund Performance (1966)Hedge Funds: Risk and Return (2005)Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? (2006)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Options, Futures and Other Derivatives (2003)“Options, Futures, and Other Derivatives” (2016)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Hedging and the Competitive Firm under Price Uncertainty (1979)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Should investors include commodities in their portfolios after all? New evidence (2011)Robust Portfolio Selection Problems (2003)Optimal Portfolio Choice with Parameter Uncertainty (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)An Anatomy of Commodity Futures Risk Premia (2011)Momentum in Corporate Bond Returns (2013)On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)Crude oil hedging strategies using dynamic multivariate GARCH (2011)The hedging effect of green bonds on carbon market risk (2020)
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References

  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 2007Momentum strategies in commodity futures markets461 cited
  • 2002The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors426 cited
  • 1980Risk and Return in Commodity Futures416 cited
  • 2010Tactical allocation in commodity futures markets: Combining momentum and term structure signals211 cited
  • 1998Multifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics189 cited
  • 2009Conditional Correlation and Volatility in CommodityFutures and Traditional Asset Markets175 cited
  • 2006A Great Company Can Be a Great Investment142 cited
  • 2005Bias and consistency of the maximum Sharpe ratio78 cited
  • 1997The Mean–Variance-Optimization Puzzle: Security Portfolios and Food Portfolios

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70 cited
  • 1997International portfolio diversification: a synthesis and an update64 cited
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    • 2017Portfolio investment: Are commodities useful?37 cited
    • 2020Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?30 cited