You are on page 1of 11


Abanomey, W.S. and I. Mathur (1999), The Hedging Benefits of Commodity Futures in
International Portfolio Diversification, The Journal of Alternative Investments, Winter.

Abanomey, W.S. and I. Mathur (2001), International Portfolios with Commodity

Futures and Currency Forward Contracts, Journal of Investing, Fall, p. 61-68

Adam De Chiara and Daniel M. Raab (2002), The Benefits of Real Asset Portfolio
Diversification, Euromoney International Commodities Review (2002), pp. 310.

Akey, Rian (2005), Commodities: A Case for Active Management, Journal of

Alternative Investments, forthcoming Fall.

Alan Heap (2005), ChinaThe Engine of Commodities Super Cycle, Citigroup Global
Equity Research (March).

Anderson, David, Shigeyuki Hamori and Naoko Hamori (2001), "An Empirical Analysis of
the Osaka Rice Market during Japans Tokugawa Era," Journal of Futures Markets 21:9,
p. 861-7

Andre F. Perold and William F. Sharpe (1988), Dynamic Strategies for Asset
Allocation, Financial Analysts Journal (January/February 1988), pp. 1627.

Ankrim, E. and C. Hensel (1992), Exchange-Traded Real Assets: Commodities in Asset

Allocation, Russell Research Commentary (April)

Ankrim, E. and C. Hensel (1993), Commodities in Asset Allocation: A Real-Asset

Alternative to Real Estate, Financial Analysts Journal, vol. 49, no. 3, (May-June), 20-29

Anson, M.J.P. (1998), Spot Returns, Roll Yield and Diversification with Commodity
Futures, The Journal of Alternative Investments, Winter, 1-17

Anson, M.J.P. (1999), Maximizing Utility with Commodity Futures Diversification,

Journal of Portfolio Management, Summer, p. 86-94
Bailey, W. and W.C. Chan (1993), Macroeconomic Influences and the Variability of the
Commodity Futures Basis, Journal of Finance, 48 (June), 555573

Basu, D., R. Oomen, and A. Stremme (2006), How to Time the Commodity Market.
EDHEC Business School Working Paper, June 2006.

Baur, D.G., McDermott, T.K. (2010), Is gold a safe haven? International evidence.
Journal of Banking and Finance 34, 1886-1898.

Becker, K., and J. Finnerty (2000), Indexed Commodity Futures and the Risk and Return
of Institutional Portfolios, OFOR Working Paper.
Becker, K.G., and J.E. Finnerty (1997), Indexed Commodity Futures and the Risk and
Return Of Institutional Portfolios Advances in Investment Analysis and Portfolio
Management 4, p. 1-14

Bekkers Niels, Doeswijk Ronald Q. and Lam Trevin W. (2009), Strategic Asset Allocation:
Determining the Optimal Portfolio with Ten Asset Classes, Journal of Wealth
Management, Vol 12, No 3, pp 61-77.

Bernd Scherer, (2005), Commodities as an Asset Class: Testing for Mean Variance
Spanning under Arbitrary Constraints, Deutsche BankAn Investors Guide to
Commodities (April 2005), pp. 3542.

Bernstein, William J., (2000), The Intelligent Asset Allocator: How to Build Your
Portfolio to Maximise Returns and Minimize Risk, McGraw-Hill

Biglova, A., Ortobelli, S., Rachev, S., Stoyanov, S. (2004), Comparison among different
approaches for risk estimation in portfolio theory, The Journal of Portfolio
Management, Fall 2004, Vol. 31, No. 1.

Bjorson, B. and Carter, C. (1997), New Evidence on Agricultural Commodity Return

Performance under Time-Varying Risk, American Journal of Agricultural Economics
(August) 918-930

Black, Fischer (1976), The pricing of commodity contracts, Journal of Financial

Economics, vol.3, 167-179.

Bodie, Kane, & Marcus. (2009). Investments (Vol. eighth): McGraw Hill.

Bodie, Z. (1983), Commodity Futures as a Hedge Against Inflation, Journal of Portfolio

Management, Spring, 12-17

Bodie, Z., A. Kane and A. Marcus, (2005), Investments, McGraw-Hill, sixth edition.

Bodie, Zvi and Rosansky, Victor (1980), "Diversification Returns And Asset
Contributions", Financial Analysts Journal, (May/June): 26-32.

Bodie, Zvi. and Rosanky, Victor (1980), Risk and Return In Commodity Futures
Financial Analyst Journal (May/June), 27-39.

Brinson. Gary P., L. Randolph Hood and Gilbert L. Beebower (1986), Determinants of
portfolio Performance Financial Analyst Journal, 42 (4), May/June, 26-32

Brinson Gary P., Singer Brian D, and Beebower Gilbert L (1991), Determinants of
Portfolio Performance II: An Update, The Financial Analysts Journal, 47 (3) May/June 40-

Brown James Dean (2003), The coefficient of determination, Shiken: JALT Testing &
Evaluation SIG Newsletter, Vol 7, No. 1, March 2003.
Brown, S.J., Elton, E.J., Gruber, and M.J., Goetzmann, W.N. (2007) Modern Portfolio
Theory and Investment Analysis. (7th edition) USA: John Wiley &.Sons.

Bykahin, B., Haigh, M.S., Robe, M.A. (2010), Commodities and equities: Ever a
Market of one? Journal of Alternative Investments 12, 76-95.

Campbell, J. Y., and Viceira, L. M. (2002), Strategic asset allocation: Portfolio choice for
long-term investors: Oxford University Press.

Chong James and Miffre Joelle (2006), Conditional Risk Premia and Correlations in
Commodity Futures Markets, Working Paper, 2006.

Chong, J., Miffre, J., (2010), Conditional correlation and volatility in commodity futures
and traditional asset markets. Journal of Alternative Investments 12, 61-75.

Chow, G., E. Jacquier, M. Kritzman and K. Lowry (1999), Optimal Portfolios in Good
Times and Bad, Financial Analysts Journal, May/June, p. 65 73.

Chung, S. (2000), Effects of Derivative Usage on Commodity-Based Corporations,

Ph.D. Dissertation, University of Massachusetts.

Cohen, K.J., and J.A. Pogue (1967), An Empirical Evaluation of Alternative Portfolio
Selection Models. Journal of Business 40 p. 166-189.

Conover, C.M., Jensen, G.R., Johnson, R.R., Mercer, J.M., (2010), Is now the time to add
commodities to your portfolio? Journal of Investing 19, 10-19.

Daskalaki, Charoula & Skiadopoulos, George, 2011. "Should investors include

commodities in their portfolios after all? New evidence," Journal of Banking & Finance,
Elsevier, vol. 35(10), pages 2606-2626, October.

David G. Booth and Eugene F. Fama, (1992), Diversification Returns and Asset
Contributions, Financial Analysts Journal (January/February), pp. 2632

Deaves, Richard, and Itzhak Krinsky. (1995), Do Futures Prices For Commodities
Embody Risk Premiums, Journal of Futures Markets, (September): 637-648.

Denson, Edwin (2006), Should Passive Commodities Investments Play a Role in Your
Portfolio? UBS Investment Viewpoints, March.

Duggal & Tawfiq Shams (2010), University Essary, Mlardalen University, Vsters
Campus, Sweden. Spring Term, 2010.

ECB. (2011). Benefits of price stability Retrieved 11 July, 2011, from

Edwards, F.R. and M.O. Caglayan, (2001), Hedge Fund and Commodity Investments in
Bull and Bear Markets, Journal of Portfolio Management, Summer, p. 97-108
Ellis, Charles D., (1992), Investment Policy How to Win the Losers Game, Irwin
Professional Pub, 2nd Ed.

Engilbjrt Auunsdttir (2011) Modern Portfolio Theory: Does it work?

Viskiptafrideild Hskla slands Leibeinandi: Vigds W. Basson, January.

Erb, Claude, Campbell R. Harvey (2006), "The Strategic and Tactical Value of Commodity
Futures," Financial Analysts Journal 62(2), 69-97

Evans L. John & Archer N. Stephen (1971), Diversification and the reduction of
Dispersion: An Empirical Analysis, Journal of Financial & Quantitative Analysis, March.

Fabozzi, Frank, Roland Fuess, and Dieter Kaiser (2008), A Primer on Commodity
Investing, in Frank Fabozzi, Roland Fuess, and Dieter Kaiser, eds.: The Handbook of
Commodity Investing, John Wiley and Sons, New Jersey

Fama, Eugene F., and Kenneth R. French. (1987), "Commodity Futures Prices: Some
Evidence on Forecast Power, Premiums and the Theory of Storage, Journal of Business,
60, 55-73

Fama, Eugene and Kenneth French (1988), "Business Cycles and The Behavior of Metals
Prices," Journal of Finance, Vol. 43, no. 5, December.

Fama, Eugene und Kenneth French, (1998), Value versus Growth: The International
Evidence, The Journal of Finance, 53(6), 1975-1999.

Fortenbery, T.R., and R.J. Hauser (1990), Investment Potential of Agricultural Futures
Contracts. American Journal of Agricultural Economics 72. 721-726.

Forward Markets Commission, Ministry of Food and Consumer Affairs, Government of

India; Forward Contracts (Regulation) Act, 1952.

Francis Jack Clark, and Ibbotson Roger, (2002), Investments A Global Perspective,
Pearson Higher Education.

Friend I. and Blume M., (1974), The Demand For Risky Assets, American Economic
Review 64 (1974).

Froot, K.A. (1995), "Hedging Portfolios with Real Assets", Journal of Portfolio
Management, Summer, pp. 60-77.

Fuertes A. M., J. Miffre, and G. Rallis. (2008), Tactical Allocation in Commodity Futures
Markets: Combining Momentum and Term Structure Signals. EDHEC Business School
Working Paper, May.

Fuertes, A.-M., Miffre, J., Rallis, G., (2010a), Strategic and tactical roles of enhanced-
commodity indices. Working paper, EDHEC Business School.
Gary E. Bond, Stanley R. Thompson (2006), Optimal commodity hedging within the
capital asset pricing model Journal of Futures Markets Volume 6, Issue 3, Pages 421431

Geman, Hlyette, (2005), Commodities and Commodity Derivatives: Modeling and

Pricing for Agriculturals, Metals and Energy (John Wiley & Sons, Chichester).

Georgiev, G. (2001), Benefits of Commodity Investment, Journal of Alternative

Investments, Summer, p. 40-48.

Georgiev, Georgi (2006), The Benefits of Commodity Investment: 2006 Update, Working
Paper, Center for International Securities and Derivatives Markets.

Gibson, R. (1999), The Rewards of Multiple Asset Class Investing, Journal of Financial
Planning (March), 50-59

Gorton, G. and K. Geert Rouwenhorst (2004), Facts and Fantasies about Commodity
Futures, NBER Working Paper, nr. 10595

Gorton, G. and K. Geert Rouwenhorst (2005), Facts and Fantasies about Commodity
Futures Yale ICF (International Center for Finance) working paper no. 04-20, February.

Gorton, G., and Rouwenhorst, K., (2006), Facts and fantasies about commodity
futures, Financial Analysts Journal, Vol. 62, 4, pp. 86-93.

Gorton, G.B., Fumio Hayashi, and K. Geert Rouwenhorst (2007) The Fundamentals of
Commodity Futures Returns, Yale ICF Working Paper, 07-08 and NBER Working Paper
W13249, June.

Greely, D. and J. Currie, (2008), Speculators, Index Investors and Commodity Prices,
Goldman Sachs Commodities Research.

Greer, Robert J. (1978), Conservative Commodities: A Key Inflation Hedge. Journal of

Portfolio Management, (Summer), pp. 26-29.

Greer, Robert J. (1994), Methods for Institutional Investment in Commodity Futures,

The Journal of Derivatives, Winter, pp. 28-36

Greer, Robert J. (1997), What is an Asset Class, Anyway? Journal of Portfolio

Management (Winter), pp. 8691.

Greer, Robert J. (2000), The Nature of Commodity Index Returns," The Journal of
Alternative Investments, Summer, 45-52.

Grossman and Shiller (1981), The Determinants of the variablility of Stock Market
Prices, American Economic Review 71.
Halpern, P. and R. Warsager (1998), The Performance of Energy and Non-Energy Based
Commodity Investment Vehicles in Periods of Inflation, The Journal of Alternative
Investments, Summer 1998, 75-81.

Harry M. Kat and Roel C. A. Oomen (2007), What Every Investor Should Know About
Commodities, Part II: Multivariate Return Analysis, Journal of Investment Management
(Third Quarter).

Helyette Geman (2005), Commodities and Commodity Derivatives: Modeling and

Pricing for Agriculturals, Metals and Energy (Chichester: John Wiley &Sons, 2005).

Henry G Jarecki, (2007), Commodities create the right mix, Futures magazine, Vol 36, No
3, pp 66-70

Hess, D., Huang, H., & Niessen, A. (2008), How do commodity futures respond to
macroeconomic news? Financial Markets and Portfolio Management, 22(2), 127-146.

Hilary Till (2000), Two Types of Systematic Return Available in the Futures
Markets,Commodities Now (September), pp. 15.

Hoernemann, Dean A. Junkans, and Carmen M. Zarate (2005), Strategic Asset

Allocation and Other Determinants of Portfolio Returns Winter 2005, Vol. 8, No. 3: pp.

Housel, T., Kanevsky, V., Rodgers, W., & Little, W. (2009), The use of modern portfolio
theory in non-profits and their IT decisions. White paper, Naval Postgraduate School.

Huberman, G. (1995), The Desirability of Investment in Commodities via Commodity

Futures, Derivatives Quarterly, Fall, 65-67

Hull, John (2002), Options, Futures and Other Derivatives (5th edition, Prentice Hall).

Ibbotson Associates (2006), Strategic asset allocation and commodities pp57.

Ibbotson, Roger G., and Paul D. Kaplan (2000), Does Asset Allocation Policy Explain 40,
90, or 100 Percent of Performance? Financial Analysts Journal, January/February, 26-

Idzorek, T., 2006, Strategic Asset Allocation and Commodities, Ibbotson Associates

Idzorek, T.M., (2007), Commodities and strategic asset allocation. In: Till, H., Eagleeye J.
(Eds.), Intelligent Commodity Investing. Risk Books: London002E.

Jahnke William (1997), The Asset Allocation Hoax, Journal of Financial Planning,

James H. Scott (1994), Managing Asset Classes, Financial Analysts Journal (January
February 1994), pp. 6269
Jeffrey T. Hoernemann, Dean A. Junkans, and Carmen M. Zarate, (2005), Strategic
Asset Allocation and Other Determinants of Portfolio Returns The Journal of Wealth
Management Winter, Vol. 8, No. 3: pp. 26-38

Jensen, G., Johnson, R., and Mercer J. (2000), Efficient Use of Commodity Futures in
Diversified Portfolios Journal of Futures Markets 20 (May), 489-506

Jensen, Gerald R., Johnson Robert R., and Jeffrey M. Mercer. (2002), "Tactical Asset
Allocation and Commodity Futures", Journal of Portfolio Management, Volume 28,
Number 4, pp. 100-110

Jobson, David J., and Bob Korkie., (1980), Estimation for Markowitz Efficient
Portfolios. Journal of the American Statistical Association, Vol. 75, September, 544-

Jobson, David J., and Bob Korkie., (1981), Putting Markowitz Theory to Work. Journal
of Portfolio Management, Summer, 70-74.

John C. Bogle, (1994), Bogle on Mutual funds (Burr Ridge, IL: Irwin Professional

John Y. Campbell (2000), Diversification: A Bigger Free Lunch, Canadian Investment

Review (Winter), pp. 1415.

Kaplan P.D. and S. Lummer, (1997), GSCI Collateralized Futures as a Hedging and
Diversification Tool for Institutional Portfolios: an Update, Working Paper, Ibbotson

Kaplan, P.D. and S. Lummer (1998), GSCI Collateralized Futures as a Hedging and
Diversification Tool for Institutional Portfolios: An Update, Journal of Investing, vol. 7,
no. 4 (Winter): 11-17.

Kat, Harry M. and Oomen, Roel C. A., (2006), What Every Investor Should Know About
Commodities, Part I: Univariate Return Analysis (January 26, 2006). ; Cass Business
School Research Paper.

Keynes, J.M. (1930), A Treatise on Money, Vol.2, MacmIllan: London. Merath, J (2006),
Commodities are part of an optimized portfolio, Global Trends, Credit Suisse, pp.3

Kheirollah & Bjrnbo, (2007), A Quantitative Risk Optimization of Markowitz Model : An

Empirical Investigation on Swedish Large Cap List. University essay from Mlardalens
hgskola/Institutionen fr matematik och fysik; Mlardalens hgskola/Institutionen fr
matematik och fysik.

Kolb, R. (1992), Is Normal Backwardation Normal," The Journal of Futures Markets,

Vol. 12, No. 1 February, 75-91.

Laws Jason and Thompson John (2007) Portfolio Diversification and Commodity
Futures CIBEF Liverpool Business School; John Moores University; (May)
Lintner, John, K., (1983), "The Potential Role of Managed Commodity Financial
Futures Accounts in Portfolios of Stocks and Bonds," Annual Conference of the Financial
Analysts Federation, Toronto, Canada.

Litzenberger, R. and N. Rabinowitz,(1995), Backwardation in Oil Futures Markets:

Theory and Empirical Evidence, The Journal of Finance 50, December, 1517-1545

Lujer Santacruz and Dr Peter J. Phillips (2009) Are Benchmark Asset Allocations for
Australian private investors optimal? Journal of Wealth Management, 2009, vol. 12,
no. 3, pp. 60-70.

Lummer S.L. and L.B.Siegel, (1993), GSCI Collateralized Futures: Hedging and
Diversification Tool for Institutional Investors, Journal of Investing, summer, pp. 75-82.

Lummer, & Riepe (1994) The Role of Asset Allocation in Portfolio Management in
Global Asset Allocation: Techniques for Optimizing Portfolio Management by John Wiley
& Sons, 1994.

Markowitz, H. (1952), Portfolio Selection. Journal of Finance, March vol. 7, p. 77-91.

Markowitz, H. (1959), Portfolio Selection: Efficient Diversification of Investments: John

Wiley & Sons, New-York.

Markowitz, H.M., (1990), Foundations of portfolio theory, Nobel lecture.

Markowitz, H.M., (1999), The early history of portfolio theory: 1600-1960, Financial
Analyst Journal, 55, 4, 5-16.

McDonald, Robert L. (2006), Derivatives Markets (Pearson Education India).

Michaud, R. O., & Michaud, R. O. (2008), Efficient Asset Management: A Practical Guide
to Stock Portfolio Optimization and Asset Allocation: Oxford University Press.

Miffre, J., and G. Rallis. (2007), Momentum Strategies in Commodity Futures Markets.
Journal of Banking and Finance, Vol. 31, No. 6, pp. 1863-1886.

Ministry of Food and Consumer Affairs, Government of India; Futures trading,

commodity exchanges and Forward Markets Commission, New Delhi, 1999.

Moncur, G. (2005), Indices enticing Investors, September 2005; Download:

Nair, C.K.G., (2004), Commodity Futures Markets in India: Ready for Take-off?
Nsenews, July.

New York Stock Exchange, Commodity Futures as an Asset Class, Report by Powers
Research Associates, January 1990.
Nijman, T.E., Swinkels, L.A.P., (2008), Strategic and tactical allocation to commodities
for retirement savings schemes. In: Fabozzi, F.J., Fss, R., Kaizer, D.G. (Eds.), The
Handbook of Commodity Investing. John Wiley & Sons Inc: Hoboken, New Jersey.

Randall S Billingsley; Don M Chance (1996,) Benefits and limitations of Diversification

among Commodity Trading Advisors, The Journal of Portfolio Management (Fall).

Robert J. Greer, (1997), What is an Asset Class, Anyway? Journal of Portfolio

Management (Winter 1997), pp. 8691.

Robert T. Daigler; Laura Rossi (2006), A Portfolio Of Stocks and Volatility The Journal of
Investing, Summer.

Roll, Richard., (1977), A Critique of the Asset Pricing Theorys Tests; Part I. On Past and
Potential Testability of the Theory, Journal of Financial Economics, vol. 4, no. 2: 129-

Sahadevan K.G., (2002), Derivatives and Price Risk Management: A Study of Agricultural
Commodity Futures in India, Institute of Management, Lucknow as quoted in Nair,
C.K.G., 2004, Commodity Futures Markets in India: Ready for Take-off?, nsenews, July
2004, pp.1-4

Sanyal G. & Sen S. (1998), Portfolio Diversification and Risk Reduction in India - An
Empirical Analysis, Finance India, June.

Satyanarayan S and P. Varangis, (1996), Diversification Benefits of Commodity Assets in

Global Portfolios, Journal of Investing, Spring, 69-78

Schneeweis, T. and R. Spurgin (1997a), Comparisons of Commodity and Managed

Futures Benchmark Indexes, The Journal of Derivatives, Summer, pp. 33-50

Schneeweis, T. and R. Spurgin (1997b), Energy Based Investment Products and Investor
Asset Allocation, CIDSM/SOM, University of Massachusetts.

Schneeweis, T., R. Spurgin, and G. Georgiev (2000), The LMEX and Asset Allocation: the
Economic Foundations for Investment into Base Metals, Working Paper, University of
Massachusetts/CISDM, December.

Schneeweis, T., U. Savanayana, and D. McCarthy (1991), "Alternative Commodity

Trading Vehicles: A Performance Analysis," Journal of Futures Markets, August 1991,

Schweizer, Denis (2008), Portfolio Optimization with Alternative Investments

International Business Research Conference 8th Annual Meeting, Dubai, UAE; February.

Scott H Irwin; Diego Landa (1987), Real Estate, Futures, and Gold as Portfolio Asset
The Journal of Portfolio Management (Fall)
Sesit, M. R. (2004), Commodities Enter Investment Mainstream, The Wall Street
Journal, C1, (September)

Sharpe, W. (1964), Capital Asset Prices: A Theory of Market Equilibrium under

Conditions of Risk. Journal of Finance, Vol. 19, No. 3, pp. 425442.

Sharpe, W.F., (2000): Portfolio Theory and Capital Markets, McGraw-Hill.

Sharpe, William F. (1966), Mutual Fund Performance. Journal of Business, (January),

pp. 119138.

Sharpe, William F. (1975), Adjusting for Risk In Portfolio Performance Measurement.

The Journal of Portfolio Management (Winter).

Sharpe, William F. (1994), The Sharpe Ratio The Journal of Portfolio Management
(Fall), pp. 49-58

Solnik, Bruno and Dennis McLeavey (2004), International Investments, 5th ed. Addison-

Spurgin, Richard. (2001), A Benchmark for Commodity Trading Advisors, Journal of

Alternative Investments. Summer 1999

Statman Meir (1995), How many stocks make a diversified Portfolio, Journal of
Financial and Quantitative Analysis, September

Stoll, H.R., Whaley, R.E., (2010), Commodity index investing and commodity futures
prices Journal of Applied Finance 20, 7-46.

Strongin, S. and M. Petsch (1995), The Mid-Cycle Pause: A Buy Signal for
Commodities, Goldman Sachs Commodity Research, July.

Strongin, S., and M. Petsch, (1995) Commodity Investing: Long-Run Returns and the
Function of Passive Capital, Derivatives Quarterly, Fall, 56-64.

Strongin, S. and M. Petsch (1996), Asset Returns and the Economic Environment,
Goldman Sachs Commodity Research, April.

Sudhakar Satyanarayan; Panos Varangis (1996), Diversification benefits of commodity

assets in global portfolios The Journal Of Investing, Spring 1996

Szakmary A.C., Shen, Q., Sharma, S.C., (2010), Trend-following trading strategies in
commodity futures: A re-examination. Journal of Banking and Finance 34, 409426.

Tang, K., Xiong, W., (2010), Index investing and the financialization of commodities.
Working paper, Princeton University.
Thomas P. McGuigan, (2006), The Difficulty of Selecting Superior Mutual Fund
Performance, Journal of Financial Planning, February.

Thorsten M. Egelkraut, Joshua D. Woodard and Philip Garcia (2005), Portfolio

Diversification with Commodity Futures: Properties of Levered Futures. Paper
presented at the NCR-134 Conference on Applied Commodity Price Analysis,
Forecasting, and Market Risk Management St. Louis, Missouri, April 18-19.

Till, Hilary, and Joseph Eagleeye, (2005), Commodities: Active Strategies for Enhanced
Return, The Journal of Private Wealth Management Vol.8, No.2 (Fall 2005), 42-61.

Versijp, P., 2011, Advanced Investments, lecture notes, Erasmus University of

Rotterdam Course.

Victor Steien; Christian Wachtmeister; (2009) University essay from Handelshgskolan i

Stockholm/Institutionen fr finansiell ekonomi Hedge Hunting the Polar Bear: The
Tactical and Strategic Value of Commodity Futures on Nordic Markets

Vrugt, Evert B., Rob Bauer, Roderick Molenaar, and Tom Steenkamp (2004), "Dynamic
Commodity Trading Strategies", working paper, (July).

Weiser, S. (2003) The Strategic Case for Commodities in Portfolio Diversification; In:
Commodities Now, 2003, pp. 7-11

You, L., Daigler, R.T., (2009), Optimizing portfolios with commodity futures. Working
paper, Florida International University.

You, L. and Daigler, R. T. (2012), A Markowitz Optimization of Commodity Futures

Portfolios. J. Fut. Mark.. doi: 10.1002/fut.21553