Futuros agropecuários em portfólios de máxima utilidade esperada

This study investigates the composition of maximum expected utility portfolio, considering stocks, bonds, gold, dollar and agricultural futures contract, between August of 1994 and December of 2007. From the optimal combinations of risk-return (calculated by Markowitz algorithm) and the use of a quadratic utility function (with different levels of risk aversion), were obtained portfolios that maximizes expected utility. The commodity futures were not present in the maximum expected utility portfolios for the complete period, 1994-2000. However, with division of sample in two and three periods, the commodity futures were included in these portfolios during the 2000s. Furthermore, in general, with the risk aversion increase, the participation of these papers in the portfolio had fall.


Variant title:
Commodity futures in portfolios of maximum expected utility
Issue Date:
2009
Publication Type:
Journal Article
DOI and Other Identifiers:
ISSN 1679-1614 (Other)
PURL Identifier:
http://purl.umn.edu/56854
Published in:
Revista de Economia e Agronegócio / Brazilian Review of Economics and Agribusiness, Volume 07, Number 2
Page range:
215-233
Total Pages:
18




 Record created 2017-04-01, last modified 2017-08-25

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