Premium
A M arkowitz Optimization of Commodity Futures Portfolios
Author(s) -
You Leyuan,
Daigler Robert T.
Publication year - 2013
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21553
Subject(s) - futures contract , ex ante , portfolio , economics , portfolio optimization , diversification (marketing strategy) , financial economics , commodity , business , finance , keynesian economics , marketing
We examine the diversification benefits of using individual futures contracts instead of simply a commodity index. We determine the ex‐ante, ex‐post, and stability results for optimal M arkowitz portfolios, investigate the instability between the ex‐ante and ex‐post results, and compare our results to traditional and naïve portfolios. The ex‐ante complete futures portfolio dominates the traditional and naive portfolios and the ex‐post portfolio outperforms the naïve portfolio. The instability between the ex‐ante and ex‐post results is primarily driven by the time‐varying returns of the individual assets rather than by risk. Finally, the S harpe portfolio results are essentially identical to the M arkowitz results. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:343‐368, 2013