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Commodity Investment: An Analysis on Expected Utility Theory |
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| รหัสดีโอไอ | |
| Creator | Budsabawan Maharakkhaka |
| Title | Commodity Investment: An Analysis on Expected Utility Theory |
| Publisher | Stamford International University |
| Publication Year | 2558 |
| Journal Title | ASEAN Journal of Management & Innovation |
| Journal Vol. | 2 |
| Journal No. | 2 |
| Page no. | 48-64 |
| Keyword | Alternative investment, Commodity, Expected Utility, Full scale optimization, Opportunity cost, Risk aversion |
| ISSN | 2351-0307 |
| Abstract | This study expanded the boundary of researches in commodity investment to the area of Expected Utility Theory. It examined the attractiveness and benefits of commodities when portfolios are estimated based on expected utility maximization. The optimal portfolios that include and do not include commodity were estimated using full scale optimization as an alternative to mean-variance approximation. The resulting portfolios were evaluated to see how an addition of commodities can improve portfolio performance. The findings indicated that futures contract on gold, physical gold investment and futures contract on light sweet crude oil were very attractive as alternative investments. An addition of these commodities to the traditional portfolio raised investors' welfare in term of expected utility. The sub-sample analysis showed that commodities were more attractive during inflationary period. Both physical gold and futures contract on gold were desirable as a hedge against inflation. They represented large proportion of the optimal portfolio and significantly raise investors' expected utility. An analysis of optimization premium suggested that portfolios with commodities were superior to portfolios of traditional assets during recession. Investors who hold portfolio of traditional assets required certain amount of optimization premium in compensation to equate their welfare to the amount achieved by investors whose portfolios include commodities. |
