Journal article
Diversification benefits of commodity futures
Abstract
The finance literature seems to be in support of the diversification benefits of adding commodity futures to an existing portfolio. Yet no empirical work has been performed to test whether the benefits are indeed statistically significant. This paper addresses several unresolved issues concerning the potential diversification benefits of commodities. First, we attempt to ascertain whether the alleged diversification benefits exist and are …
Authors
Cheung CS; Miu P
Journal
Journal of International Financial Markets Institutions and Money, Vol. 20, No. 5, pp. 451–474
Publisher
Elsevier
Publication Date
December 2010
DOI
10.1016/j.intfin.2010.06.003
ISSN
1042-4431