The Strategic and Tactical Value of Commodity Futures

Financial Analysts Journal - Tập 62 Số 2 - Trang 69-97 - 2006
Claude B. Erb1, Campbell R. Harvey2
1Claude B. Erb, CFA, is managing director at Trust Company of the West, Los Angeles.
2Campbell R. Harvey is J. Paul Sticht Professor of International Business at Duke University, Durham, North Carolina.

Tóm tắt

Từ khóa


Tài liệu tham khảo

10.3905/jpm.1999.319753

Anson Mark J.P., 2002, Handbook of Alternative Assets

10.2469/faj.v58.n2.2524

Arnott Robert D., 2005, Financial Analysts Journal, 61, 64, 10.2469/faj.v61.n2.2717

Bailey Warren, 1993, Journal of Finance, 48, 555, 10.1111/j.1540-6261.1993.tb04727.x

10.1016/S0304-405X(98)00027-0

10.1093/rfs/5.4.637

Black Fischer, 1976, Journal of Financial Economics, 3, 167, 10.1016/0304-405X(76)90024-6

10.2469/faj.v36.n3.27

10.2469/faj.v48.n3.26

Brennan Michael J., 1991, Stochastic Models and Options Values

Campbell John Y., 2000, Canadian Investment Review, 13, 14

10.1111/j.1540-6261.1997.tb03808.x

10.1086/258347

Deaves Richard, 1995, Journal of Futures Markets, 15, 637, 10.1002/fut.3990150604

10.2469/faj.v54.n6.2227

de Roon Frans, 2000, Journal of Finance, 55, 1437, 10.1111/0022-1082.00253

Dimson Elroy, 2001, Triumph of the Optimists

10.2469/faj.v60.n1.2589

10.1111/j.1540-6261.1995.tb04791.x

10.1086/260133

10.1086/296385

Fama Eugene F., 1992, Journal of Financial Economics, 33, 3, 10.1016/0304-405X(93)90023-5

10.1111/j.1540-6261.1992.tb04398.x

Fernholz Robert, 1982, Journal of Finance, 37, 615, 10.1111/j.1540-6261.1982.tb03584.x

10.1093/rfs/6.3.527

10.1093/rfs/14.2.313

10.2469/faj.v62.n2.4083

10.3905/jai.2000.318924

10.2469/faj.v59.n1.2505

Jensen Gerald R., 2000, Journal of Futures Markets, 20, 489, 10.1002/(SICI)1096-9934(200005)20:5<489::AID-FUT5>3.0.CO;2-A

Jensen Gerald R., 2002, Journal of Portfolio Management, 28, 100, 10.3905/jpm.2002.319859

10.1111/1540-6261.00435

10.2307/2967593

Kaplan Paul D., 1998, Journal of Investing, 7, 11, 10.3905/joi.1998.408472

Keynes John M., 1930, A Treatise on Money

Kolb Robert W., 1992, Journal of Futures Markets, 12, 75, 10.1002/fut.3990120108

10.2307/1924119

Lummer Scott L., 1993, Journal of Investing, 2, 75, 10.3905/joi.2.2.75

10.3905/jpm.2002.319828

10.2307/2977928

10.3905/jpm.1990.409248

Siegel Jeremy J., 2005, The Future for Investors

10.2469/faj.v62.n1.4055

10.3905/jai.1999.318917

Till Hilary, 2000, Commodities Now, 4, 75

Till Hilary, 2003, The New Generation of Risk Management for Hedge Fund and Private Equity Investments

10.3905/jpm.2004.8