... the weights as budget shares for maximizing the risk-adjusted return of the underlying portfolio. For testing the stability of the portfolio benefits, the asymmetric interaction between oil, equity and bonds is tested. Design/methodology/approach Oil is a major investment commodity. The literature shows...

...Dony Abdul Chalid; Rangga Handika Purpose This study aims to investigate the benefits of commodity hedging in the global stock index, bond and foreign currency (FX) portfolios. Design/methodology/approach The authors compare various hedging strategies and factor transaction costs. The authors...

...Zhen Zhu There is a debate on the excess volatility of long‐term bond yields. It is found that whether long‐term bond yields are excessively volatile or excessively smooth depends critically on the knowledge of the long‐run properties of the short‐term interest rate process. Uses a span of 200...