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