Evidence suggests that stock markets in industrialized economies are increasingly integrated with the presence of common trends amongst national stock market indices. This implies that in the long run there is little gain from diversifying portfolios internationally. We investigate the existence...

We examine excess comovement in commodity prices and the extent to which this can be explained by the role of commodities in portfolio diversification. We estimate the proportion of investor wealth that should be allocated to commodities in order to maximize expected utility over time and...