Risk Management and Portfolio Construction in a Commodity Futures Programme
The focus of this article will be on risk management within the context of a total-return futures program centered on commodities.
Author(s):
Principal, Premia Capital Management, LLC
Principal, Premia Capital Management, LLC, andResearch Associate, EDHEC Risk and Asset Management Research Centre
The following issues will be addressed: - The evaluation of normal versus eventful risk; - The sizing of trades and strategy buckets; and - The construction of a portfolio, which takes into consideration these risk and sizing metrics. We provide examples from three historical portfolios in order to make this discussion concrete and practical.
| Type: | Working paper |
|---|---|
| Date: | le 03/09/2007 |
| Research Cluster : | Finance |
See Also
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