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BODIE, Z. & ROSANSKY, V. I. (1980) Risk and return in commodity futures. Financial Analysts Journal, 27-39.
BESSLER, W., and WOLFF, D., 2015. Do commodities add value in multi-asset portfolios? An out-of-sample
analysis for different investment strategies. Journal of Banking & Finance, 60, 1-20.
BIANCHI, R.J., DREW, M.E. and FAN, J.H., 2015. Combining momentum with reversal in commodity
futures. Journal of Banking & Finance, 59, 423-444.
CHONG, J. & MIFFRE, J. (2010) Conditional correlation and volatility in commodity futures and traditional asset
markets. The Journal of Alternative Investments, 12, 061-075.
CLARE, A., SEATON, J., SMITH, P. N. & THOMAS, S. (2012) Trend Following, Risk Parity and Momentum in
ERB, C. B. & HARVEY, C. R. (2006) The strategic and tactical value of commodity futures. Financial Analysts
FUERTES, A.-M., MIFFRE, J. & RALLIS, G. (2010) Tactical allocation in commodity futures markets: Combining
momentum and term structure signals. Journal of Banking & Finance, 34, 2530-2548.
GORTON, G. & ROUWENHORST, K. G. (2004) Facts and fantasies about commodity futures. National Bureau of
MIFFRE, J. & RALLIS, G. (2007) Momentum strategies in commodity futures markets. Journal of Banking &
Finance, 31, 1863-1886.
NARAYAN, P.K., AHMED, H.A. and NARAYAN, S., 2014. Do Momentum-Based Trading Strategies Work in the
Commodity Futures Markets? Journal of Futures Markets, doi: 10.1002/fut.21685.
RACHEV, S., JASIC, T., STOYANOV, S. & FABOZZI, F. J. (2007) Momentum strategies based on rewardrisk stock
selection criteria. Journal of Banking & Finance, 31, 2325-2346.
FTE Category A staff submitted: 23.00
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