摘要：This paper examines the portfolio diversification effect of commodity futures on financial market products introducing a comprehensive evaluation standard of risk standardization, robustly small correlation, and risk-return tradeo. Regarding risk standardization, we propose a definition of portfolio diversification as how much the distribution of portfolio returns is close to a normal distribution. It is shown by using an ɑ-stable distribution that if commodity price return distribution has the opposite sign of skewness parameter β to financial portfolio's β, commodity diversification e ect exists. The empirical studies using S & P 500, U.S. 10-year treasury notes, and DJ-AIG commodity index are conducted to investigate the portfolio diversification e ects. The parameter estimation results of portfolio return distributions, the conditional correlations using the dynamic conditional correlation model with financial exogenous variables, and the e cient frontier from the mean-CVaR portfolio optimization all suggest that commodity futures have a diversification e ect on financial markets.
关键词：diversification effect;commodity futures;ɑ-stable distribution;dynamic conditional correlation model with exogenous variables;mean-CVaR portfolio optimization
