Commodity futures and strategic asset allocation

Yongyang Su, Chi Keung Lau, Frankie Chau

    Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review


    This chapter analyzes the role of commodities in the process of strategic asset allocation. It emphasizes computing the optimal weighting of commodities relative to the traditional assets in a multiperiod portfolio choice setting and offers some plausible explanations on why commodities are an important asset class beyond the traditional portfolios of stocks and bonds. From the perspective of U.S. investors, the analysis shows that investors have a relatively strong and stable intertemporal hedging demand for commodities for long-term horizons despite their increasingly easy and inexpensive access to the global equity and bond markets. Overall, the results lend support to those institutional investors who believe that commodities are an important asset class and continue to include such assets in their strategic portfolio allocation process.
    Original languageEnglish
    Title of host publicationAlternative Investments: Instruments, Performance, Benchmarks, and Strategies
    Place of PublicationOxford
    Number of pages638
    ISBN (Print)9781118241127
    Publication statusPublished - 2013

    Publication series

    NameRobert W. Kolb


    Dive into the research topics of 'Commodity futures and strategic asset allocation'. Together they form a unique fingerprint.

    Cite this