Can commodities dominate stock and bond portfolios?
Abstract
In this article we discuss whether commodities should be included as an asset class when establishing portfolios. By investigating second order stochastic dominance relations, we find that the stock and bond indices tend to dominate the individual commodities. We further study if we can find a combination of stocks, bonds and commodities that dominate others. Compared to a 60% stock and 40% bond portfolio mix, portfolios consisting of long...
Paper Details
Title
Can commodities dominate stock and bond portfolios?
Published Date
Aug 4, 2018
Volume
282
Issue
1-2
Pages
155 - 177
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