We investigate the dynamic correlation between oil, gold and commodity currencies and suggest optimal hedging … a minimum variance hedge portfolio consisting of investments in oil, gold and commodity currencies. We test our approach … against a number of benchmark models by comparing the sample volatilities of portfolio returns and find that the proposed …

“anchor” to the portfolio: US Treasury bonds. From a mathematical point of view, rising interest rates unambiguously reduce … oil may have in diversifying a predominantly bond-oriented portfolio …