We shed new light on the role of commodities in asset allocation for investors with and without liabilities who (a) believe that asset returns are time varying and predictable (b) have short and long term horizons and (c) have access, in addition to a standard passive commodity portfolio, to...

Determining the optimal mix of assets in the context of a portfolio construction involves “smart” forecasts of asset returns as well as good estimates of the asset return variances and covariances. Typically, sample moments are used as best estimates of the population moments. Several...