Strategic Asset Allocation And Intertemporal Hedging Demands: With Commodities As An Asset Class

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. The authors 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. The results provide support to institutional investors attempting to include commodities into their strategic asset allocation decision.

Provided by: Munich Personal Repec Archive Topic: Big Data Date Added: Oct 2010 Format: PDF

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