Commodities are on everybody's lips as the past year's plunge has caused wreckage to many portfolio managers. Recently, discussions have surfaced about whether they should be part of asset allocation portfolios. Many arguments have been founded on logical deductions and philosophies about commodities and their role in the world. Here we present a more mathematical view on commodities and their impact on asset allocation through Monte Carlo simulations.
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Calculating the case of commodities in asset allocation
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