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. 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.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-9990 |
| Date | January 2010 |
| Creators | Duggal, Rahul, Shams, Tawfiq |
| Publisher | Mälardalens högskola, Akademin för hållbar samhälls- och teknikutveckling, Mälardalens högskola, Akademin för hållbar samhälls- och teknikutveckling |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
Page generated in 0.0022 seconds