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Efficient use of commodity futures in diversified portfolios

Jensen, Gerald R.; Johnson, Robert R.; Mercer, Jeffrey M. - In: Journal of Futures Markets 20 (2000) 5, pp. 489-506

We provide evidence on the role of commodity futures in portfolios comprised of stocks, bonds, T‐bills, and real estate. Over the period investigated (1973–1997), Markowitz optimization over a range of risk levels gives substantial weight to commodity futures, thereby enhancing the...

Persistent link: https://www.econbiz.de/10011197277

Business conditions, monetary policy, and expected security returns

Jensen, Gerald R.; Mercer, Jeffrey M.; Johnson, Robert R. - In: Journal of financial economics 40 (1996) 2, pp. 213-238

Persistent link: https://www.econbiz.de/10006529392

Efficient Use of Commodity Futures in Diversified Portfolios

Jensen, Gerald R.; Johnson, Robert R.; Mercer, Jeffrey M. - In: The journal of futures markets 20 (2000) 5, pp. 489

Persistent link: https://www.econbiz.de/10006838399

ALTERNATIVE INVESTMENTS - Tactical Asset Allocation and Commodity Futures

Jensen, Gerald R.; Johnson, Robert R.; Mercer, Jeffrey M. - In: The journal of portfolio management : a publication of … 28 (2002) 4, pp. 100

Persistent link: https://www.econbiz.de/10006559222

ECONOMICS - Is Fed Policy Still Relevant for Investors?

Conover, C.Mitchell; Jensen, Gerald R.; Johnson, Robert R. - In: Financial analysts' journal : FAJ 61 (2005) 1, pp. 70-79

Persistent link: https://www.econbiz.de/10006240032

New Evidence on Size and Price-to-Book Effects in Stock Returns

Jensen, Gerald R.; Johnson, Robert R.; Mercer, Jeffrey M. - In: Financial analysts' journal : FAJ 53 (1997) 6, pp. 34-42

Persistent link: https://www.econbiz.de/10006310456

Business conditions, monetary policy, and expected security returns

Jensen, Gerald R.; Mercer, Jeffrey M.; Johnson, Robert R. - In: Journal of Financial Economics 40 (1996) 2, pp. 213-237

Persistent link: https://www.econbiz.de/10005362791

Efficient use of commodity futures in diversified portfolios

Jensen, Gerald R.; Johnson, Robert R.; Mercer, Jeffrey M. - In: The journal of futures markets 20 (2000) 5, pp. 489-506

Persistent link: https://www.econbiz.de/10001500123

Business conditions, monetary policy, and expected security returns

Jensen, Gerald R. - In: Journal of financial economics 40 (1996) 2, pp. 213-237

Persistent link: https://www.econbiz.de/10001193686

The role of monetary policy in investment management

Jensen, Gerald R. - 2000

Persistent link: https://www.econbiz.de/10001608698