Commodity Dependence and Optimal Asset Allocation
研究了国内投资者将大宗商品加入传统资产组合的多元化收益，发现高商品依赖国家的投资者通常无益，而低依赖国家则受益，说明本地经济结构影响投资效果。
ABSTRACT We present a model to explain the diversification benefits of incorporating commodities into a portfolio of traditional assets from the perspective of domestic investors. Utilizing a sample of 38 countries from 2000 to 2020, we show that investors in high‐commodity dependence countries generally do not benefit from adding commodities to their portfolios while investors located in low‐commodity dependence countries usually do. Our results thus show that local contexts matter and that commodities may augment a diversified portfolio if investors are not excessively exposed to commodity risk through their country's economic structure.