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Frank J. Fabozzi, PhD, CFA, is Professor in the Practice of Finance and Becton Fellow at Yale University's School of Management and the Editor of the Journal of Portfolio Management.
ROLAND FüSS, PhD, is Professor of the Endowed Chair for Asset Management, European Business School (EBS), International University Schloss Reichartshausen, Germany.
Dieter G. Kaiser, PhD, is Director of Alternative Investments at Feri Institutional Advisors GmbH in Bad Homburg, Germany, where he is managing a dedicated commodities fund of hedge funds.
Foreword | p. xi |
Preface | p. xv |
About the Editors | p. xix |
Contributing Authors | p. xxi |
Mechanics of the Commodity Market | p. 1 |
A Primer on Commodity Investing | p. 3 |
The Pricing and Economics of Commodity Futures | p. 38 |
Commodity Futures Investments: A Review of Strategic Motivations and Tactical Opportunities | p. 56 |
Macroeconomic Determinants of Commodity Futures Returns | p. 87 |
The Relationship Between Risk Premium and Convenience Yield Models | p. 113 |
The Optimal Rotation Period of Renewable Resources: Theoretical Evidence from the Timber Sector | p. 145 |
Performance Measurement | p. 167 |
Review of Commodity Futures Performance Benchmarks | p. 169 |
Performance Characteristics of Commodity Futures | p. 203 |
Statistical Analysis of Commodity Futures Returns | p. 227 |
The Diversification Benefits of Commodity Futures Indexes: A Mean-Variance Spanning Test | p. 241 |
CTA/Managed Futures Strategy Benchmarks: Performance and Review | p. 266 |
Risk Management | p. 311 |
Some Thoughts on Risk Management for Commodity Portfolios | p. 313 |
Effective Risk Management Strategies for Commodity Portfolios | p. 322 |
Quantifying Cross-Commodity Risk in Portfolios of Futures Contracts | p. 335 |
Incorporating Futures in Commodity Price Forecasts | p. 358 |
Asset Allocation | p. 389 |
Commodity Trading Strategies: Examples of Trading Rules and Signals from the CTA Sector | p. 391 |
How to Design a Commodity Futures Trading Program | p. 406 |
Sources of Alpha in Commodity Investing | p. 423 |
Efficient Frontier of Commodity Portfolios | p. 454 |
Active Management of Commodity Investments: The Role of CTAs and Hedge Funds | p. 479 |
Introducing Alternative Investments in a Traditional Portfolio: The Case of Commodities, Hedge Funds, and Managed Futures | p. 504 |
Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes | p. 522 |
Commodity Products | p. 547 |
Types of Commodity Investments | p. 549 |
Commodity Options | p. 570 |
The Pricing of Electricity Forwards | p. 596 |
Securitization of Commodity Price Risk | p. 613 |
Commodity Trading Advisors: A Review of Historical Performance | p. 626 |
Catching Future Stars Among Micro-CTAs | p. 648 |
A Primer on Energy Hedge Funds | p. 660 |
Special Classes | p. 679 |
An Overview of Commodity Sectors | p. 681 |
A Practical Guide to Gold as an Investment Asset | p. 712 |
The Effect of Gold in a Traditional Portfolio | p. 736 |
Fundamental Analysis of the World Silver Market | p. 763 |
Investing in Base Metals | p. 776 |
Electricity Trading in the European Union | p. 803 |
The Natural Gas Market in the United Kingdom | p. 825 |
Emissions Trading in the European Union | p. 844 |
The Fundamentals of Agricultural and Livestock Commodities | p. 863 |
Fundamental Analysis of the World Sugar Market | p. 888 |
Technical Analysis | p. 907 |
The Profitability of Technical Analysis in Commodity Markets | p. 909 |
Index | p. 949 |
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