| Autor | Anna Górska, Monika Krawiec |
| Tytuł | The Stability of Component Assets in Optimal Portfolios of Stock and Commodity Indexes |
| Title | |
| Słowa kluczowe | |
| Key words | stock and commodity indexes, Markowitz portfolio optimization, component stability |
| Abstrakt | |
| Abstract | The turbulences in financial markets increased the interest in commodity investments as an alternative asset class for potential risk diversification. A plethora of past and present studies documents the diversification benefits achieved by adding commodities to the traditional security portfolios. Most of commodity diversification papers ignore the stability of component assets in the optimal portfolio. This paper examines both, the stability and performance of optimal Markowitz portfolios over time. The portfolios are composed of commodity and stock indexes. Their risk and returns are compared to the risk and return of the equally weighted benchmark portfolio. |
| Cytowanie | Górska A., Krawiec M. (2016) The Stability of Component Assets in Optimal Portfolios of Stock and Commodity Indexes.Zeszyty Naukowe SGGW w Warszawie - Problemy Rolnictwa Światowego, t. 16(31), z. 4: 33-43 |
| HTML | wersja html |
| Pełny tekst | PRS_2016_T16(31)_n4_s33.pdf |
