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Modern Portfolio Trading with Commodities

<p>There is a big interest for alternative investment strategies than investing in traditional asset classes. Commodities are having a boom dynamic with increasing prices. This thesis is therefore based on applying Modern Portfolio Theory concept to this alternative asset class.</p><p>In this paper we manage to create optimal portfolios of commodities for investors with known and unknown risk preferences. When comparing expected returns to actual returns we found that for the investor with the known risk preference almost replicated the return of the markets. The other investor with unknown risk preference also profited but not as efficient as the market portfolio.</p>

Identiferoai:union.ndltd.org:UPSALLA/oai:DiVA.org:mdh-9990
Date January 2010
CreatorsDuggal, Rahul, Shams, Tawfiq
PublisherMälardalen University, School of Sustainable Development of Society and Technology, Mälardalen University, School of Sustainable Development of Society and Technology
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, text

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