Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

Theo E. Nijman*, Laurens A.P. Swinkels

*Corresponding author for this work

Research output: Chapter/Conference proceedingChapterAcademic

7 Citations (Scopus)

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
Original languageEnglish
Title of host publicationThe Handbook of Commodity Investing
EditorsF. Fabozzi, R. Fuss, D.G. Kaiser
Place of PublicationHoboken
PublisherJohn Wiley & Sons Inc.
Chapter22
Pages522-546
Number of pages25
ISBN (Electronic)9781118267004
ISBN (Print)9780470117644
DOIs
Publication statusPublished - 23 Jun 2008

Research programs

  • EUR ESE 33

Fingerprint

Dive into the research topics of 'Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes'. Together they form a unique fingerprint.

Cite this