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Modern Portfolio Trading with Commodities
Mälardalen University, School of Sustainable Development of Society and Technology.
Mälardalen University, School of Sustainable Development of Society and Technology.
2010 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

There is a big interest for alternative investment strategies than investing in traditional asset classes. Commodities are having a boom dynamic with increasing prices. This thesis is therefore based on applying Modern Portfolio Theory concept to this alternative asset class.

In this paper we manage to create optimal portfolios of commodities for investors with known and unknown risk preferences. When comparing expected returns to actual returns we found that for the investor with the known risk preference almost replicated the return of the markets. The other investor with unknown risk preference also profited but not as efficient as the market portfolio.

Place, publisher, year, edition, pages
2010. , 49 p.
Keyword [en]
Modern portfolio theory, Commodities, Mean-variance optimization, MATLAB
National Category
Economics
Identifiers
URN: urn:nbn:se:mdh:diva-9990OAI: oai:DiVA.org:mdh-9990DiVA: diva2:328198
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2010-07-05 Created: 2010-07-01 Last updated: 2010-07-05Bibliographically approved

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fulltext(2344 kB)1339 downloads
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School of Sustainable Development of Society and Technology
Economics

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf