Daskalaki, Charoula and Skiadopoulos, George. (2011) Should investors include commodities in their portfolios after all? New evidence. Journal of Banking & Finance, Vol.35 (No.10). pp. 2606-2626. ISSN 0378-4266

Full text not available from this repository.

Abstract

This paper investigates whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes. First, we revisit the posed question within an in-sample setting by employing mean-variance and non-mean-variance spanning tests. Then, we form optimal portfolios by taking into account the higher order moments of the portfolio returns distribution and evaluate their out-of-sample performance. Under the in-sample setting, we find that commodities are beneficial only to non-mean-variance investors. However, these benefits are not preserved out-of-sample. Our findings challenge the alleged diversification benefits of commodities and are robust across a number of performance evaluation measures, utility functions and datasets. The results hold even when transaction costs are considered and across various sub-periods. Not surprisingly, the only exception appears over the 2005-2008 unprecedented commodity boom period.

Item Type:	Journal Article
Subjects:	H Social Sciences > HF Commerce H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Asset allocation, Commodity futures, Capitalists and financiers
Journal or Publication Title:	Journal of Banking & Finance
Publisher:	Elsevier Science BV
ISSN:	0378-4266
Date:	October 2011
Volume:	Vol.35
Number:	No.10
Page Range:	pp. 2606-2626
Identification Number:	10.1016/j.jbankfin.2011.02.022
Status:	Peer Reviewed
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/38512

Data sourced from Thomson Reuters' Web of Knowledge

Request changes to a record

Actions (login required)

View Item