Do Commodities Add Value in Multi-Asset-Portfolios? An Out-of-Sample Analysis for Different Investment Strategies

151 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks (2019, unknown): “We also contribute to the literature that examines diversification benefits in alternative investments such as commodities or futures (e.g., Cheung and Miu, 2010; Baur and Lucey, 2010; Ciner et al., 2013; Bessler and Wolff, 2015; Gao and Nardari, 2018), the effect of transaction costs (e.”
Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, methodology): “Contrasting evidence however has been found by Erb and Harvey (2006), Daskalaki and Skiadopoulos (2011), Bessler and Wolff (2015) and Platanakis et al (2019) who all find that commodities offer no additional value, while Liu et al. (2018) find that some commodities provide diversification benefits a”