Files
Abstract
The international diversification of assets by investing in agricultural
commodities has manifested increasingly in recent years, as demonstrated by the
growth in investment in commodities which have augmented rapidly in recent
years, the prospect is that they will increase further. The common perception is
that international trade markets investments popularity comes from the fact that
the goods constitute an alternative asset class with returns that present, at least in
theory, low or negative correlation with the returns on assets belonging to
traditional asset classes: stocks and bonds. Harry Markowitz (1959) and James
Tobin (1958) developed the theory of optimal selection of securities portfolios in
an uncertain environment. This was developed by William Sharpe (1964) and
John Lintner (1965) in a general equilibrium model prices. This model
completes and improves Markowitz's theory, because even its author William
Sharpe, leaves in its development, inters alia, on the premise that the investor
will use an investment approach as described by his predecessor. Basically the
model enables us to facilitate the work in evaluating the expected earnings of the
various securities and portfolios, which relates to a risk measure called β. What
is particularly important about this model is that it is currently applied in the
industry of the investments, maybe not in its original form, but in newer versions
adapted of it. However, the researchers concluded that the overall balance given
by the CAPM is quite inconsistent in practice. Other authors have attempted to
explain the application of CAPM on futures markets. The conclusion was that
the CAPM is not consistent in explaining the results of the futures markets, but
also the qualitative and quantitative empirical phenomena are unable to explain
the results from the futures markets.