Commodity Futures and Strategic Asset Allocation

Yongyang Su, Marco Chi Keung Lau, Frankie Ho Chi Chau

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

This chapter analyzes the role of commodities in the process of strategic asset allocation. It emphasizes computing the optimal weighting of commodities relative to the traditional assets in a multiperiod portfolio choice setting and offers some plausible explanations on why commodities are an important asset class beyond the traditional portfolios of stocks and bonds. From the perspective of U.S. investors, the analysis shows that investors have a relatively strong and stable intertemporal hedging demand for commodities for long-term horizons despite their increasingly easy and inexpensive access to the global equity and bond markets. Overall, the results lend support to those institutional investors who believe that commodities are an important asset class and continue to include such assets in their strategic portfolio allocation process.
Original languageEnglish
Title of host publicationAlternative Investments
Subtitle of host publicationInstruments, Performance, Benchmarks, and Strategies
EditorsH. Kent Baker, Greg Filbeck
PublisherWiley
Pages399-418
Number of pages20
ISBN (Electronic)9781118656501
ISBN (Print)9781118241127
DOIs
Publication statusPublished - 23 Apr 2013
Externally publishedYes

Publication series

NameRobert W. Kolb Series in Finance
PublisherWiley

Fingerprint Dive into the research topics of 'Commodity Futures and Strategic Asset Allocation'. Together they form a unique fingerprint.

  • Cite this

    Su, Y., Lau, M. C. K., & Chau, F. H. C. (2013). Commodity Futures and Strategic Asset Allocation. In H. K. Baker, & G. Filbeck (Eds.), Alternative Investments: Instruments, Performance, Benchmarks, and Strategies (pp. 399-418). (Robert W. Kolb Series in Finance). Wiley. https://doi.org/10.1002/9781118656501.ch20