Research Reports from the Department of Operations
Document Type
Report
Publication Date
11-1-1979
Abstract
In response to rising inflation, investors are increasingly exploring commodity futures for higher returns. This study examines the dynamics of managed commodity futures accounts, focusing on two investor classes: active portfolio managers and passive investors relying on professional advisors. It identifies the challenges investors face in selecting advisors, highlighting the need for detailed advisor information and comparative analyses. Additionally, it addresses the complexities of constructing optimal portfolios of advisors or investments in open-ended commodity pools to balance risk and reward. The authors conducted a three-month study (ending June 1979) aiming to develop a quantitative investment system for designing portfolios that maximize future expected returns based on past performance records. Challenges in implementing both naive and refined methodologies for portfolio optimization are discussed. This work underscores the lack of systematic approaches to portfolio design in commodity futures, offering insights for investors seeking tailored strategies.
Keywords
Operations research, Portfolio management, Investment advisors, Risk management, Inflation (Finance), Mathematical optimization, Investment analysis--Mathematical models
Publication Title
Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University
Issue
Technical memorandum no. 461
Rights
This work is in the public domain and may be freely downloaded for personal or academic use
Recommended Citation
Salkin, Harvey M. and Ritchken, Peter H., "The Optimal Selection of a Portfolio of Commodity Futures Trading Advisors" (1979). Research Reports from the Department of Operations. 398.
https://commons.case.edu/wsom-ops-reports/398