Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments
研究评估了在利用资产收益矩预测性的多资产策略中，加入大宗商品能否提升经济价值，发现即使限制卖空和高杠杆，大宗商品仍能带来显著收益，例如中等风险厌恶的投资者每年愿支付高达108至155个基点。
We conduct a comprehensive out-of-sample assessment of the economic value adding of commodities in multiasset investment strategies that exploit the predictability of asset return moments. We find that predictability makes the inclusion of commodities profitable even when short selling and high leverage are not permitted. For instance, a mean-variance (non-mean-variance) investor with moderate risk aversion and leverage, rebalancing quarterly, would be willing to pay up to 108 (155) basis points per year after transaction cost for adding commodities to her stock, bond, and cash portfolio. Previous research had reached mixed or even opposite conclusions, especially in an out-of-sample context.