Risk Management and Portfolio Construction in a Commodity Futures Program

The focus of this paper will be on risk management within the context of a total-return futures program centered on commodities. The following issues will be addressed: the evaluation of normal versus eventful risk; the sizing of trades and strategy buckets; and the construction of a portfolio, which takes into consideration these risk and sizing metrics

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Year of publication:	2015
Authors:	Eagleeye, Joseph
Other Persons:	Till, Hilary (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Risikomanagement \| Risk management \| Rohstoffderivat \| Commodity derivative \| Portfolio-Management \| Portfolio selection \| Hedging

Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 4, 2007 erstellt
Other identifiers:	10.2139/ssrn.2634709 [DOI]
Classification:	G1 - General Financial Markets ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013018912