A Markowitz Optimization of Commodity Futures Portfolios-Reference-Cited by-同舟云学术

A Markowitz Optimization of Commodity Futures Portfolios

Published:2012-03-27 Issue:4 Volume:33 Page:343-368
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

You Leyuan¹,Daigler Robert T.²

Affiliation:

1. Leyuan You is an Assistant Professor of Finance, Department of Finance and Economics, McCoy College of Business Administration, Texas State University-San Marcos, San Marcos, Texas

2. Robert T. Daigler is Knight Ridder Research Professor of Finance, Florida International University, Miami, Florida

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference26 articles.

1. Spot returns, roll yield and diversification with commodity futures;Anson;Journal of Alternative Investments,1998

2. Risk and return in commodity futures;Bodie;Financial Analysts Journal,1980

3. The statistical properties of hedge fund index returns and their implications for investors;Brooks;Journal of Alternative Investments,2002

4. Conditional correlation and volatility in commodity futures and traditional asset markets;Chong;Journal of Alternative Investments,2010

5. The effect of errors in means, variances, and covariances on optimal portfolio choice;Chopra;Journal of Portfolio Management,1993

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