Effects of full collateralization in commodity futures investments

Joshua D. Woodard, Thorsten M. Egelkraut, Philip Garcia, Joost M.E. Pennings

Research output: Contribution to journalArticlepeer-review


The study extends research on the impact of commodity futures investments on portfolio performance by incorporating levered futures directly into the optimization problem. Differences in portfolio performance between fully collateralized and levered futures arise primarily in the presence of investment constraints. The attractiveness of portfolios is also affected by differences in commodity investments, indicating that both more efficient collateral and investment management may improve performance.

Original languageEnglish (US)
Pages (from-to)253-266
Number of pages14
JournalJournal of Derivatives and Hedge Funds
Issue number4
StatePublished - Feb 1 2011


  • commodity investments
  • investment constraints
  • levered futures
  • optimal portfolio performance

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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