Commodity index risk premium

Gonzalo Cortazar, Hector Ortega, Maximiliano Rojas and Eduardo S. Schwartz

Journal of Commodity Markets, 2021, vol. 22, issue C

Abstract: Increasingly commodities have become an asset class in a process called financialization. Many institutional investors, looking for ways to expand their diversification opportunities, are holding positions in a commodity futures index and use them as a performance benchmark. Thus, institutional commodity holdings in commodities has expanded significantly.

Keywords: Commodity portfolios; Risk premiums; GSCI index; Futures; Expected prices (search for similar items in EconPapers)
JEL-codes: G13 Q02 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300337

DOI: 10.1016/j.jcomm.2020.100156

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