Portfolio Diversification with Commodities in Times of Financialization

摘要: The study concentrates on the benefits of passive commodity investments in context phenomenon financialization. research investigates implications increase correlation coefficients between equity and for investors financial markets. paper is composed several parts. First, attributes their portfolio optimization are explored. Second, financialization described hypothesis developed. Next, an empirical analysis performed. I simulate mean-variance spanning tests to examine before after accounting impact proceed separate pre- post-financialization period. based asset classes’ returns other related variables from years 1991-2012. performed investigations indicate that market may have significant investors. Due coefficients, inclusion futures traditional stockbond appears be no longer reasonable.