Titre : |
Study of the correlation of commodity futures returns with other asset classes |
Type de document : |
Mémoire |
Auteurs : |
Baptiste PERREARD |
Année de publication : |
2016 |
Importance : |
37 p. |
Note générale : |
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Langues : |
Anglais (eng) |
Mots-clés : |
Management ACTIF ; MATIERE PREMIERE ; ACTION ; OBLIGATION ; MARCHE A TERME
|
Résumé : |
This paper will present a study of the commodity market with a financial management perspective, focusing on correlation between commodity futures returns and other asset classes, namely equity and bond. The objective is to focus the analysis on the post crisis period, as we now have a meaningful dataset to assess potential changes in the correlations of the assets. The paper will also focus on the correlation between nearby futures contracts and distant contracts, to evaluate the best commodity futures to invest in. |
Programme : |
PGE-Rouen |
Spécialisation : |
Finance et Gestion Internationales |
Permalink : |
https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=227298 |