Research On The Investment Value Of Domestic Commodity Futures

In abroad,due to the mature development of futures market,foreign researchers have added commodity futures as an investment tool to a portfolio for avoiding risk.However,because of starting relatively late in the futures market in China e,the domestic researchers rarely realized the good performamce of commodity futures,such as postive skewness,high liquidity,low transaction costs and low correlation with traditional assets,etc.And these advantages can make commodity futures as an investment tool,in order to achieve the purpose of avoiding risk.In this paper,the second chapter mainly reviews the predecessors'research.We find that previous research has several shortcomings:first,there is many shortcomings of the mean-variance model.second,our predecessors never considered the situation that for commodity futures short selling can be allowed when adding commodity futures to a portfolio.So we begin with the exist problems in the research of predecessors'research.The third chapter mainly introduces the fisk measurement method-CVaR that has good statistical properties including the defintion,calculation and propeties of CVaR.In Chapter ?,we constructs the mean-CVaR model based on the idea of mean-variance model.And we determine the optimal portfolio including risky assets when the risk-free asset is joined to the risky portfolio.In fifth chapter,firstly,we proceed from the situation that the commodity futures are not allowed to be short selling In the mean-CVaR framework,We join some commodity futures index or some commodity already circulating in the market to the portfolio composed of stocks and bonds to examine whether the commodities index can improve the effectiveness of portfolio.Then,we examine the diversification benefits of using individual commodity futures and a commodity index by comparing the traditional portfolio composed of traditional equities and bonds,the complete portfolio including traditional assets and all individual commodities and the portfolio of traditional assets and a commodity index.Secondly,considering that short-selling being allowed for commodity futures,we determine the investment value through comparing the performance of the traditional and complete portfolio under different confidence level.If the proportion of assets in a portfolio over the time are stable,it will spend less cost and energy on the management of the portfolio for investors.Therefore,we also examine the facts whic mainly affect the proportion of each asset in the optimal portfolio with commodity futures under high,medium and low risk level.Conclusion shows that whether for commodity futures short-selling are allowed or not,in the mean-CVaR framework,commodity futures can actually bring diversification effects for a portfolio.But,the higher the level of risk,the lower the ability of diversification for commodities.Furthermore,adding a number of commodities to the traditional portfolio can achieve greater diversification effect.For the instability of the proportion of each asset in the optimal complete portfolio,we concluded that Under the high risk-level,proportion of assets is only determined by returns.Under the medium risk-level of,proportion of assets is determined by returns and the correlation with other assets.Under the low risk-level,CVaR and the correlation with other assets will affect the proportion of assets.