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Speculative commodity holdings

Authors
Publisher
Elsevier B.V.
Publication Date
Volume
21
Issue
4
Identifiers
DOI: 10.1016/0165-1765(86)90195-3

Abstract

Abstract Adopting a mean-variance approach, we characterize the optimal commodity holdings for a risk averse speculator within a discrete time framework. A new factor, namely covariance risk effect, arises which essentially represents the difference between the optimal stock of a risk averse speculator and that of a risk neutral one.

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