Asset Details

  • Description:
  • Sorts on the previous month's volatility. We sort months into five states by the previous month's realized volatility and compute the average returns, volatility, and the mean‐variance trade‐off in the subsequent month. Panels A to C present the results for the commodity futures market portfolio and Panels D to F present these for the basis portfolio [Color figure can be viewed at wileyonlinelibrary.com]
  • License:
  • Rights Managed
  • Rights Holder:
  • John Wiley & Sons, Inc.
  • License Rights Holder:
  • © 2021 Wiley Periodicals LLC
  • Asset Type:
  • Image
  • Asset Subtype:
  • Image Orientation:
  • Portrait
  • Image Dimensions:
  • 1242 x 1627
  • Image File Size:
  • 192 KB
  • Creator:
  • Jangkoo Kang, Kyung Yoon Kwon
  • Credit:
  • Kang, J., & Kwon, K. (2021). Volatility‐managed commodity futures portfolios. Journal of Futures Markets, 41(2), 159-178. https://doi.org/10.1002/fut.22175.
  • Collection:
  • Keywords:
  • Restrictions:
  • Property Release:
  • No
  • Model Release:
  • No
  • Purchasable:
  • Yes
  • Sensitive Materials:
  • No
  • Article Authors:
  • Jangkoo Kang, Kyung Yoon Kwon
  • Article Copyright Year:
  • 2021
  • Publication Volume:
  • 41
  • Publication Issue:
  • 2
  • Publication Date:
  • 02/01/2021
  • DOI:
  • https://doi.org/10.1002/fut.22175

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