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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Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 10 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
