We thank a reviewer for numerous useful suggestions that have improved the quality of this study. We thank David Nawrocki for his help with the Portfolio Management Software Package (PMSP) program. All portfolio results are generated using PMSP.
A Markowitz Optimization of Commodity Futures Portfolios
Article first published online: 27 MAR 2012
© 2012 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 33, Issue 4, pages 343–368, April 2013
How to Cite
You, L. and Daigler, R. T. (2013), A Markowitz Optimization of Commodity Futures Portfolios. J. Fut. Mark., 33: 343–368. doi: 10.1002/fut.21553
- Issue published online: 7 JAN 2013
- Article first published online: 27 MAR 2012
- Manuscript Accepted: 30 DEC 2011
- Manuscript Received: 13 MAY 2011
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