Commodity Investments in Financialized Markets—a Study

Adam Zaremba ()

Chapter Chapter Six in The Financialization of Commodity Markets, 2015, pp 189-207 from Palgrave Macmillan

Abstract: Abstract Does it make sense to allocate a part of the portfolio to commodities? Current research on this issue largely ignores the changes that have occurred in the commodity markets over the last decade. As a result, the problem of optimization of the portfolio with commodities is still relevant and current. This chapter presents the results of a simple study that makes an attempt to answer the question about the validity of investing in commodities in the context of structural changes in the markets. I show the results of a series of tests that examine the performance of commodity investments in times of financialization and before them.

Keywords: Efficient Frontier; Sharpe Ratio; Commodity Market; Asset Class; Standard Deviation Figure (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-47639-5_6

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DOI: 10.1057/9781137476395_6

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