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Strategic Commodity Allocation and The Theory of Storage

https://doi.org/10.2139/ssrn.1928620

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Outgoing claims: the papers this work cites, builds on, or argues with.

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A Primer on Commodity Investing

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The Diversification Benefits of Commodity Futures Indexes: A Mean‐Variance Spanning Test

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Relative Risk Aversion: What Do We Know?

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Optimum consumption and portfolio rules in a continuous-time model

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Pricing continuously resettled contingent claims

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An intertemporal asset pricing model with stochastic consumption and investment opportunities

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The relation between forward prices and futures prices

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Time-varying risk premia and forecastable returns in futures markets

inferredcites →https://doi.org/10.1016/j.jbankfin.2006.12.005openalex-extracted

Momentum strategies in commodity futures markets

inferredcites →https://doi.org/10.1016/j.jbankfin.2007.12.011openalex-extracted

Can commodity futures be profitably traded with quantitative market timing strategies?

inferredcites →https://doi.org/10.1016/j.jbankfin.2010.04.009openalex-extracted

Tactical allocation in commodity futures markets: Combining momentum and term structure signals

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On optimal portfolio choice under stochastic interest rates

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Strategic asset allocation

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Expectation puzzles, time-varying risk premia, and affine models of the term structure

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Stochastic Interest Rates and the Bond-Stock Mix

inferredcites →https://doi.org/10.1023/b:redr.0000017026.28316.c8openalex-extracted

Theory of Storage and the Pricing of Commodity Claims

inferredcites →https://doi.org/10.1080/14697688.2010.488654openalex-extracted

Time-varying long-run mean of commodity prices and the modeling of futures term structures

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Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds

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Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets

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Portfolio Selection in Stochastic Environments

inferredcites →https://doi.org/10.1111/0022-1082.00253openalex-extracted

Hedging Pressure Effects in Futures Markets

inferredcites →https://doi.org/10.1111/1540-6261.00426openalex-extracted

Term Premia and Interest Rate Forecasts in Affine Models

inferredcites →https://doi.org/10.1111/j.1468-036x.2011.00585.xopenalex-extracted

Consumption and Hedging in Oil‐Importing Developing Countries

inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02721.xopenalex-extracted

The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging

inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00728.xopenalex-extracted

Does the Failure of the Expectations Hypothesis Matter for Long‐Term Investors?

inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00799.xopenalex-extracted

Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

inferredcites →https://doi.org/10.1142/9789814566926_0006openalex-extracted

The Strategic and Tactical Value of Commodity Futures

inferredcites →https://doi.org/10.21236/ad0708563openalex-extracted

UTILITY THEORY FOR DECISION MAKING

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The Performance of Simple Dynamic Commodity Strategies

inferredcites →https://doi.org/10.2139/ssrn.1700726openalex-extracted

Strategic Asset Allocation and Intertemporal Hedging Demands: With Commodities as an Asset Class

inferredcites →https://doi.org/10.2139/ssrn.1898864openalex-extracted

Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle

inferredcites →https://doi.org/10.2139/ssrn.291472openalex-extracted

Portfolio and Consumption Decisions Under Mean-Reverting Returns: An Exact Solution for Complete Markets

inferredcites →https://doi.org/10.2139/ssrn.301994openalex-extracted

Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans

inferredcites →https://doi.org/10.2139/ssrn.462540openalex-extracted

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

inferredcites →https://doi.org/10.2139/ssrn.581423openalex-extracted

Dynamic Commodity Timing Strategies

inferredcites →https://doi.org/10.2307/1232678openalex-extracted

Theory of the Inverse Carrying Charge in Futures Markets

inferredcites →https://doi.org/10.2307/1913811openalex-extracted

An Intertemporal Capital Asset Pricing Model

inferredcites →https://doi.org/10.2307/1926560openalex-extracted

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

inferredcites →https://doi.org/10.2307/2676232openalex-extracted

Dynamic Asset Allocation and Fixed Income Management

inferredcites →https://doi.org/10.2307/2978877openalex-extracted

Essays in the Theory of Risk-Bearing.

inferredcites →https://doi.org/10.2307/3008003openalex-extracted

Utility Theory for Decision Making

inferredcites →https://doi.org/10.2307/3594995openalex-extracted

Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets

inferredcites →https://doi.org/10.24148/wp2000-19openalex-extracted

Term Premia and Interest Rate Forecasts in Affine Models

inferredcites →https://doi.org/10.2469/faj.v48.n3.26openalex-extracted

Diversification Returns and Asset Contributions

inferredcites →https://doi.org/10.2469/faj.v62.n2.4083openalex-extracted

Facts and Fantasies about Commodity Futures

inferredcites →https://doi.org/10.2469/faj.v62.n2.4084openalex-extracted

The Strategic and Tactical Value of Commodity Futures

inferredcites →https://doi.org/10.3386/w13249openalex-extracted

The Fundamentals of Commodity Futures Returns

inferredcites →https://doi.org/10.3905/jai.2000.318924openalex-extracted

The Nature of Commodity Index Returns

inferredcites →https://doi.org/10.3905/jpm.23.2.86openalex-extracted

What is an Asset Class, Anyway?

inferredcites →https://doi.org/10.1002/1096-9934(200010)20:9<803::aid-fut1>3.0.co;2-qopenalex-snapshot

Normal backwardation is normal

inferredcites →https://doi.org/10.1142/9789812701022_0003openalex-snapshot

AN INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES

inferredcites →https://doi.org/10.2469/faj.v67.n4.1openalex-snapshot

Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle

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