Robust optimization-based commodity portfolio performance

Artikel

This paper examines the performance of a näive equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and conditional value-at-risk optimization techniques are used to construct the robust commodity futures portfolios. This paper documents the benefits of applying a sophisticated, robust optimization technique to construct commodity futures portfolios. We find that a 12-month lookback period contains the most useful information in constructing optimization-based portfolios, and a 1-month holding period yields the highest returns among all the holding periods examined in the paper. We also find that an optimized conditional value-at-risk portfolio using a 12-month lookback period outperforms an optimized mean-variance portfolio using the same lookback period. Our findings highlight the advantages of using robust optimization for portfolio formation in the presence of return uncertainty in the commodity futures markets. The results also highlight the practical importance of choosing the appropriate lookback and holding period when using robust optimization in the commodity portfolio formation process.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 8 ; Year: 2020 ; Issue: 3 ; Pages: 1-17 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Contingent Pricing; Futures Pricing; option pricing
• Thema: commodities ; commodity futures ; portfolio optimization

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Adhikari, Ramesh ; Putnam, Kyle J. ; Panta, Humnath
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2020

Weitere Informationen

• DOI: doi:10.3390/ijfs8030054
• Handle: http://hdl.handle.net/10419/257721
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ