How valuable are the commodity assets to investors? diversification and spanning상품 자산 편입의 투자자에 대한 편익

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This study examines how the commodity assets affect on an investor’s portfolio performance during rising and falling commodity prices over the period January 1988 through December 2007. Based on the correlation analysis, commodity assets’ returns move differently from those of traditional assets, which results from the relationship with inflation rate as well as different business cycle. For this reason, commodity assets generally enhance the Sharpe ratio of optimal portfolios, according to break-even analysis. Moreover, commodity assets offer the excess wealth gains to an investor, under the numeraire portfolio approach. From the empirical tests, I find that a log-utility investor would keep commodity assets in his portfolio for expecting excess returns from diversification and spanning.
Advisors
Kang, Jang-Kooresearcher강장구researcher
Description
한국과학기술원 : 금융전공,
Publisher
한국과학기술원
Issue Date
2009
Identifier
309804/325007  / 020073842
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 금융전공, 2009.2, [ iv, 32 p. ]

Keywords

Commodities; Diversification; Spanning; Portfolio Performance; Excess Return; 상품자산; 분산투자; 초과수익; 최적포트폴리오; 샤프비율

URI
http://hdl.handle.net/10203/52389
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=309804&flag=dissertation
Appears in Collection
KGSF-Theses_Master(석사논문)
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