This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and...

We develop a model to study the impacts of speculative position limits in commodity futures market. In the spirit of Dodd-Frank Act, regulators believe that position limit on speculators would dampen futures price volatility and prevent market manipulation. We show that this is not true due to...

In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they...