Taking Full Advantage of the Statistical Properties of Commodity Investments

Hilary Till: Academic and practitioner research has documented that commodities yield important risk-reduction benefits for a portfolio invested mainly in financial assets.

Author(s) :

Hilary Till

Research Associate, EDHEC-Risk InstitutePrincipal, Premia Capital Management, LLC

Presentation :

It is perhaps less well known that individual commodity strategies can be so uncorrelated that they can significantly dampen the risk of a commodity-only portfolio. In this article we discuss how an investor can take full take advantage of the unique statistical properties of this asset class.
Pdf
Taking Full Advantage of the Statistical Properties of Commodity Investments...
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Type : Working paper
Date : le 03/06/2013
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

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