Adhikari, Ramesh; Putnam, Kyle J.; Panta, Humnath - In: International Journal of Financial Studies : open … 8 (2020) 3/54, pp. 1-17
This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity … robust commodity futures portfolios. This paper documents the benefits of applying a sophisticated, robust optimization … technique to construct commodity futures portfolios. We find that a 12-month lookback period contains the most useful …