Can commodities dominate stock and bond portfolios?

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 combi...

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Veröffentlicht in:	Annals of operations research 2019-11, Vol.282 (1-2), p.155-177
Hauptverfasser:	Henriksen, Tom Erik Sønsteng, Pichler, Alois, Westgaard, Sjur, Frydenberg, Stein
Format:	Artikel
Sprache:	eng
Schlagworte:	Bond portfolios Business and Management Combinatorics Commodities Commodity markets Forecasts and trends Gold Methods Operations research Operations Research/Decision Theory Portfolio management S.I.: Application of O.R. to Financial Markets Studies Theory of Computation
Online-Zugang:	Volltext
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