Su, Yongyang and Lau, Marco Chi Keung (2010): Strategic asset allocation and intertemporal demands: with commodities as an asset class.
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This paper analyzes the role of commodities in the process of strategic asset allocation, with an attempt of computing the weight of commodities relative to traditional assets in a multi-period portfolio choice problem and understanding the economic interpretations to its importance. We find U.S. investors have a significantly stable intertemporal hedging demand for commodities in the long horizons, even when they have access to foreign equity markets, for example, foreign stock market. Our results provide support to institutional investors attempting to include commodities into their strategic asset allocation decision.
|Item Type:||MPRA Paper|
|Original Title:||Strategic asset allocation and intertemporal demands: with commodities as an asset class|
|Keywords:||strategic asset allocation; portfolio choice; hedging demand; commodities; commodity futures|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing
|Depositing User:||Yongyang Su|
|Date Deposited:||09. Nov 2010 10:25|
|Last Modified:||12. Feb 2013 11:22|
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Available Versions of this Item
Strategic asset allocation and intertemporal demands: with commodities as an asset class. (deposited 04. Nov 2010 18:27)
- Strategic asset allocation and intertemporal demands: with commodities as an asset class. (deposited 09. Nov 2010 10:25) [Currently Displayed]