کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090126 | 1375618 | 2011 | 21 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Should investors include commodities in their portfolios after all? New evidence Should investors include commodities in their portfolios after all? New evidence](/preview/png/5090126.png)
This paper investigates whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes. First, we revisit the posed question within an in-sample setting by employing mean-variance and non-mean-variance spanning tests. Then, we form optimal portfolios by taking into account the higher order moments of the portfolio returns distribution and evaluate their out-of-sample performance. Under the in-sample setting, we find that commodities are beneficial only to non-mean-variance investors. However, these benefits are not preserved out-of-sample. Our findings challenge the alleged diversification benefits of commodities and are robust across a number of performance evaluation measures, utility functions and datasets. The results hold even when transaction costs are considered and across various sub-periods. Not surprisingly, the only exception appears over the 2005-2008 unprecedented commodity boom period.
Journal: Journal of Banking & Finance - Volume 35, Issue 10, October 2011, Pages 2606-2626