Multi-period strategic asset allocation and intertemporal hedging demands for commodities:International evidence
Using the methodology of Campbell et al.(2003),this paper develops a multi-period asset allocation model with an infinite horizon and Epstein-Zin utility to explore the benefits of investing in commodities in the context of dynamic asset allocation.We expand the extant empirical literature to investors in Australia,Canada,Japan,the UK,Europe and the US,providing new evidence from an international perspective.Our results document sizable mean total and intertemporal hedging demands for commodities in all the countries,especially for resource-based economies,such as Canada and Australia.The magnitude of these demands is relatively stable and permanent in various settings of intertemporal substitution and risk aversion.We also find that the investment benefits of commodities may not be a universal phenomenon.Investors in resource-based economies do not benefit to the same extent as investors in other types of economies.Finally,we show that the above results are robust when investors have access to foreign assets.
Multi-period portfolio choice Strategic asset allocation Commodity futures Intertemporal hedging demand Return predictability
Libo Yin Liyan Han
School of Economics and Management,Beihang University,Beijing,100191,China
国内会议
杭州
英文
1-21
2012-10-27（万方平台首次上网日期，不代表论文的发表时间）