Abstract
This chapter contains sections titled:
- Strategic Asset Allocation
- Statistical Significance of the Portfolio Improvement
- Tactical Asset Allocation
- Conclusion
- Appendix A: The Optimal Mean-Variance Portfolio with Pension Liabilities
- Appendix B: Robustness Analysis: Different Expected Returns
- Strategic Asset Allocation
- Statistical Significance of the Portfolio Improvement
- Tactical Asset Allocation
- Conclusion
- Appendix A: The Optimal Mean-Variance Portfolio with Pension Liabilities
- Appendix B: Robustness Analysis: Different Expected Returns
Original language | English |
---|---|
Title of host publication | The Handbook of Commodity Investing |
Editors | F. Fabozzi, R. Fuss, D.G. Kaiser |
Place of Publication | Hoboken |
Publisher | John Wiley & Sons Inc. |
Chapter | 22 |
Pages | 522-546 |
Number of pages | 25 |
ISBN (Electronic) | 9781118267004 |
ISBN (Print) | 9780470117644 |
DOIs | |
Publication status | Published - 23 Jun 2008 |
Research programs
- EUR ESE 33