2017
DOI: 10.1016/j.jcomm.2017.10.002
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Portfolio investment: Are commodities useful?

Abstract: This paper investigates the usefulness of commodities in investors' portfolios within a meanvariance optimization framework. The analysis differs from previous research by considering multiple investment tools including individual commodity futures contracts, three generations of commodity indices and by controlling for estimation error in portfolio optimization process. Rather generally, the results demonstrate that including individual commodities or the first-and second-generation commodity indices do littl… Show more

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Cited by 28 publications
(19 citation statements)
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References 59 publications
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“…Whereas they show that in-sample, non-MV investors can profit from adding commodities to their portfolios, the finding does not hold for the out-of-sample analysis. Yan and Garcia (2017) and Platanakis, Sakkas, and Sutcliffe (2019) do not find that commodities improve Sharpe ratios in-or out-of-sample. Their findings are in contrast to Daskalaki et al (2017)'s, which show that commodities can add value to investors' portfolios.…”
Section: Commoditiesmentioning
confidence: 78%
“…Whereas they show that in-sample, non-MV investors can profit from adding commodities to their portfolios, the finding does not hold for the out-of-sample analysis. Yan and Garcia (2017) and Platanakis, Sakkas, and Sutcliffe (2019) do not find that commodities improve Sharpe ratios in-or out-of-sample. Their findings are in contrast to Daskalaki et al (2017)'s, which show that commodities can add value to investors' portfolios.…”
Section: Commoditiesmentioning
confidence: 78%
“…In other words, the diversification benefit for a portfolio is observed only with agricultural commodities [4] and other types of alternative assets, such as real estate [5], hedge funds [6], volatility futures [3], or clean-energy (technology) stocks [7]. Despite this, the issue of a diversified portfolio has been tested in several academic reviews, such as in [2,8,9] which are some of the most recent ones.…”
Section: Introductionmentioning
confidence: 99%
“…Both Yan and Garcia [2014] and Kremer [2015] find evidence of diversification benefits of third-generation commodity indices in an out-ofsample mean-variance framework, thereby indicating an increase in returns and a reduction in risk. Daskalaki et al [2015] support this using a stochastic-dominance approach for portfolio optimization.…”
mentioning
confidence: 99%
“…Daskalaki et al [2015] support this using a stochastic-dominance approach for portfolio optimization. The main drawback of the latter and Yan and Garcia [2014] is that they employ only momentum-based long/short commodity indices to test the diversification properties. Furthermore, they use only a single broad market-cap weighted index representing stocks and another for bonds.…”
mentioning
confidence: 99%
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