Volatility and correlation timing: The role of commodities
| Autor: | Panos K. Pouliasis, Nikos C. Papapostolou |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Transaction cost
Economics and Econometrics 050208 finance Bond 05 social sciences Diversification (finance) Asset allocation Dynamic asset allocation General Business Management and Accounting Accounting 0502 economics and business Econometrics Economics Portfolio 050207 economics Volatility (finance) Futures contract Finance |
| Zdroj: | Journal of Futures Markets. 38:1407-1439 |
| ISSN: | 0270-7314 |
| DOI: | 10.1002/fut.21939 |
| Popis: | This paper examines the role of commodit ies from the perspective of dynamic asset allocation. W e model conditional second moments of st ock, bond and commodity futures and examine their impact on the portfolio choice decision of a risk-averse investor in a mean-variance framework . Findings suggest that adding commodities in the opportunity set enhances portfolio risk-return characteristics and offers diversification benefits. Moreover, there is substantial economic value in both volatility and correlation timing strategies. Results are robust across various sub-periods and rebalancing strategies , alternative correlation dynamic s specifications, short-sale constraints and transaction costs under both in-and out-of-sample settings. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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