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We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the...
Persistent link: https://www.econbiz.de/10011473894
Gold, in all its forms, is certainly one of the most attractive assets in its last ten years: 266.8% for physical gold and 348.6% for gold mining shares while MSCI World posted -11.7% (from December 31, 2000 to December 31, 201'8 EUR hedged). We propose a general analysis to include this asset...
Persistent link: https://www.econbiz.de/10013131753
This paper investigates whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes. First, we revisit the posed question within an in-sample setting by employing mean–variance and non-mean–variance spanning tests. Then, we form...
Persistent link: https://www.econbiz.de/10013133164
Investors' holding periods determine how transaction costs are amortized and priced as liquidity premium in asset returns. Using a dataset containing two million trades made by over 66,000 households, this paper shows that transaction costs are an important determinant of investors' holding...
Persistent link: https://www.econbiz.de/10013133467
Target-Date Funds (TDFs) facilitate retirement planning by varying asset allocation over time with the goal of reducing portfolio risk. We explore potential agency problems in TDFs by examining their return performance and flow-performance relation. We find that TDFs under-perform balanced funds...
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Behavioural Finance has emerged as a serious contender to the Efficient Markets Hypothesis in the study of asset pricing and capital markets. A major tenet on which it rests is the investor's aversion to loss-induced regret and the consequent tendency to hold losing stocks too long and sell...
Persistent link: https://www.econbiz.de/10013136008