Over the last two decades, commodity indices have been increasingly used to achieve investment portfolio diversification. At the same time, the rise in the popularity of these indices has prompted questions on whether commodities remained segmented from traditional financial asset markets, which...

The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most...