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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
Presentation :
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 |
| Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay,Département de la recherche et du développement de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC. |
| Research Cluster : | Finance |
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About EDHEC
Located in Lille, Nice, Paris, London and Singapore, EDHEC is one of the 20 best business schools in the world. Resolutely international and directly connected to the world of business, it is known for the excellence of its research and its capacity to train entrepreneurs and managers able to move the lines.
A true laboratory of ideas, it produces innovative solutions recognized by companies.
Her research is irrigating her teaching based on "build people to build business" and "learning by doing".
