BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Author
Górska Anna (Warsaw University of Life Sciences - SGGW), Krawiec Monika (Warsaw University of Life Sciences - SGGW)
Title
The Stability of Component Assets in Optimal Portfolios of Stock and Commodity Indexes
Source
Zeszyty Naukowe SGGW w Warszawie. Problemy Rolnictwa Światowego, 2016, t. 16(31), z. 4, s. 33-43, rys., tab., bibliogr. 17 poz.
Scientific Journal Warsaw University of Life Sciences SGGW - Problems of Word Agriculture
Keyword
Giełdy towarowe, Dywersyfikacja portfela, Teoria portfelowa Markowitza
Commodity exchange, Portfolio diversification, Markowitz portfolio theory
Note
streszcz., summ.
Abstract
The turbulences in financial markets increased the interest in commodity investments as an alternative asset class for potential risk diversification. A plethora of past and present studies documents the diversification benefits achieved by adding commodities to the traditional security portfolios. Most of commodity diversification papers ignore the stability of component assets in the optimal portfolio. This paper examines both, the stability and performance of optimal Markowitz portfolios over time. The portfolios are composed of commodity and stock indexes. Their risk and returns are compared to the risk and return of the equally weighted benchmark portfolio. (original abstract)
Full text
Show
Bibliography
Show
  1. Bekiros, S., Nguyen, D.K., Uddin, G.S., Sj_, B. (2016). On the Time Scale Behavior of Equity-Commodity Links: Implications for Portfolio Management. Journal of International Financial Markets, Institutions & Money, 41, 30-46.
  2. Bodie, Z. (1980). An Innovation for Stable Real Retirement Income. Journal of Portfolio Management, Fall, 5-13.
  3. Chevalier, J., Ielpo, F. (2013). The Economics of Commodity Markets. John Wiley&Sons, Chichester, West Sussex.
  4. Chow, G., Jacquier, E., Kritzman, M., Lowry, K. (1999). Optimal Portfolios in Good Times and Bad. Financial Analyst Journal, May-June 1999, 65-74.
  5. Conover, C.M., Jensen, G.R., Johnson, RR., Mercer, J.M. (2010). Is Now the Time to Add Commodities to Your Portfolio? Journal of Investing, 19, 10-19.
  6. Erb, C.B., Harvey, C.R. (2006). The Strategic and Tactical Value of Commodity Futures. Financial Analyst Journal, 62 (2), 69-97.
  7. Froot, K.A. (1995). Hedging Portfolios with Real Assets. Journal of Portfolio Management, Summer 1995, 60-77.
  8. Gasser, S.M., Rammenstorfer, M., Weinmayer, K. (2017). Markowitz Revisited: Social Portfolio Engineering. European Journal of Operational Research, 258, 1181-1190.
  9. Gorton, G., Rouwenhorst, K.G. (2004). Facts and Fantasies About Commodity Futures. Yale International Center for Finance Working Paper, 4 (20), June 2004.
  10. Greer, R.J. (2000). The Nature of Commodity Index Returns. Journal of Alternative Investments, 3 (1), Summer, 45-52.
  11. Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7, 77-91.
  12. Mashayekhi, Z., Omrani, H. (2016). An Integrated Multi-objective Markowitz-DEA Cross-efficiency Model with Fuzzy Returns for Portfolio Selection Problem. Applied Soft Computing, 38, 1-9.
  13. Nijman, T.E., Swinkels, L.A.P. (2008). Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes. The Handbook of Commodity Investing. John Wiley&Sons, Chichester, West Sussex, 522-546.
  14. Schofield, N.C. (2007). Commodity Derivatives. John Wiley&Sons, Chichester, West Sussex.
  15. www.vanguard.com
  16. You, L., Deigler, R.T. (2012). A Markowitz Optimization of Commodity Futures. Journal of Futures Markets, 33 (4), 343-368.
  17. Zopounidis, C., Doumpos, M., Fabozzi F.J. (2014). Preface to the Special Issue: 60 Years Following Harry Markowitz's Contributions in Portfolio Theory and Operations Research. European Journal of Operational Research, 234, 343-345.
Cited by
Show
ISSN
2081-6960
Language
eng
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu