Article ID Journal Published Year Pages File Type
5089749 Journal of Banking & Finance 2012 18 Pages PDF
Abstract
► In this paper we investigate the diversification benefits of commodities. ► From the perspective of a euro investor many different commodities are analysed. ► A spanning test is conducted which reveals risk reduction or return enhancement. ► Empirical results show that the diversification properties vary in quality.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
On the diversification benefits of commodities from the perspective of euro investors
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