LEADER 05787nam 2200805 a 450 001 9910816635603321 005 20251214174849.0 010 $a9786611381639 010 $a9781281381637 010 $a1281381632 010 $a9781118267004 010 $a1118267001 010 $a9780470293201 010 $a0470293209 035 $a(CKB)1000000000535850 035 $a(EBL)353428 035 $a(SSID)ssj0000167264 035 $a(PQKBManifestationID)11167699 035 $a(PQKBTitleCode)TC0000167264 035 $a(PQKBWorkID)10169607 035 $a(PQKB)10493314 035 $a(Au-PeEL)EBL353428 035 $a(CaPaEBR)ebr10296332 035 $a(CaONFJC)MIL138163 035 $a(OCoLC)773301050 035 $a(CaSebORM)9780470117644 035 $a(MiAaPQ)EBC353428 035 $a(PPN)24133828X 035 $a(OCoLC)793359765 035 $a(OCoLC)ocn793359765 035 $a(OCoLC)214306825 035 $a(FINmELB)ELB177515 035 $a(Perlego)2784101 035 $a(EXLCZ)991000000000535850 100 $a20080911d2008 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe handbook of commodity investing /$fFrank J. Fabozzi, Roland Fuss, Dieter G. Kaiser 205 $a1st edition 210 $aHoboken, N.J. $cWiley$dc2008 215 $a1 online resource (1010 p.) 225 1 $aThe Frank J. Fabozzi series 300 $aDescription based upon print version of record. 311 08$a9780470117644 311 08$a0470117648 320 $aIncludes bibliographical references and index. 327 $aThe Handbook of Commodity Investing; Contents; Foreword; Preface; About the Editors; Contributing Authors; Part I: Mechanics of the Commodity Market; Chapter 1: A Primer on Commodity Investing; MARKET PARTICIPANTS; COMMODITY SECTORS; COMMODITIES AS AN ASSET CLASS OF THEIR OWN; COMMODITY EXCHANGES; PRICES AT THE COMMODITY FUTURES EXCHANGES; MODELS OF EXPECTED RETURNS; RISK AND PERFORMANCE CHARACTERISTICS; PORTFOLIO OPTIMIZATION WITH COMMODITIES; CONCLUSION; Chapter 2: The Pricing and Economics of Commodity Futures; THE RELATIONSHIP BETWEEN FUTURES PRICES AND SPOT PRICES 327 $aECONOMICS OF THE COMMODITY MARKETS: NORMAL BACKWARDATION VERSUS CONTANGOCOMMODITY PRICES COMPARED TO FINANCIAL ASSET PRICES; CONCLUSION; Chapter 3: Commodity Futures Investments: A Review of Strategic Motivations and Tactical Opportunities; STRATEGIC MOTIVATION FOR COMMODITY INVESTMENTS; TACTICAL OPPORTUNITIES IN COMMODITY INVESTMENTS; CONCLUSION; Chapter 4: Macroeconomic Determinants of Commodity Futures Returns; COMMODITIES AS AN INFLATION HEDGE; DYNAMIC LINKAGES OF MONETARY POLICY AND COMMODITY RETURNS: A VECTOR AUTOREGRESSIVE ANALYSIS; COMMODITIES AND EXCHANGE RATES 327 $aCOMMODITIES AND THE BUSINESS CYCLE CONCLUSION; Chapter 5: The Relationship Between Risk Premium and Convenience Yield Models; LIMITATION OF RISK NEUTRAL PRICING; TWO BASIC MODELS; TERM STRUCTURE OF COMMODITY PRICES; FUTURES RETURNS; A COMMON DECOMPOSITION OF FUTURES RETURNS; CONCLUSION; APPENDIX; Chapter 6: The Optimal Rotation Period of Renewable Resources: Theoretical Evidence from the Timber Sector; PRODUCTION AS A TIME CONSUMING PROCESS; NET PROCEEDS VERSUS COST RETURN; CAPITAL MANAGEMENT IN FORESTRY; REVENUES FINANCE EXPENDITURES; FROM FEUDALISM TO CAPITALISM; LOOKING BACK AND AROUND 327 $aCONCLUSION APPENDIX A; APPENDIX B; Part II: Performance Measurement; Chapter 7: Review of Commodity Futures Performance Benchmarks; SUMMARY OF COMMODITY INDEXES; EMPIRICAL ANALYSIS OF THE COMMODITY BENCHMARK PROBLEM; A SOLUTION FOR HETEROGENEOUS INDEXES; CONCLUSION; Chapter 8: Performance Characteristics of Commodity Futures; HISTORICAL RETURNS; RETURN DECOMPOSITION AND DIVERSIFICATION RETURN; CORRELATIONS; INFLATION; RETURNS OVER THE BUSINESS CYCLE; TACTICAL ASSET ALLOCATION; CONCLUSION; Chapter 9: Statistical Analysis of Commodity Futures Returns; SOURCES OF RETURN: AN ILLUSTRATION 327 $aUNIVARIATE ANALYSIS MULTIVARIATE ANALYSIS; CONCLUSION; Chapter 10: The Diversification Benefits of Commodity Futures Indexes: A Mean-Variance Spanning Test; HOW FINANCIAL ECONOMISTS VIEW ASSET CLASSES; REMOVE THE BORDER; RISK, RETURN, AND DIVERSIFICATION; EMPIRICAL RESULTS; POTENTIAL PITFALLS OF COMMODITY INDEX PERFORMANCE; CONCLUSION; APPENDIX; Chapter 11: CTA/Managed Futures Strategy Benchmarks; GROWTH AND BENEFIT OF MANAGED FUTURES; GENERAL DESCRIPTION OF MANAGED FUTURES; CTA INDEX CONSTRUCTION; EMPIRICAL ANALYSIS; ISSUES IN PERFORMANCE MEASUREMENT; CONCLUSION; Part III: Risk Management 327 $aChapter 12: Some Thoughts on Risk Management for Commodity Portfolios 330 $aFilled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex 410 0$aFrank J. Fabozzi series. 606 $aCommodity futures 615 0$aCommodity futures. 676 $a332.632 700 $aFabozzi$b Frank J$0109596 701 $aFu?ss$b Roland$01690146 701 $aKaiser$b Dieter G$01690147 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910816635603321 996 $aThe handbook of commodity investing$94065697 997 $aUNINA