---
title: Commodity Futures Selection
url: https://www.ml-quant.com/papers/repec/wly-jfutmk-v-45-y-2025-i-1-p-3-22/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:wly:jfutmk:v:45:y:2025:i:1:p:3-22
source_url: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fdoi.org%2F10.1002%2Ffut.22550%3Bh%3Drepec%3Awly%3Ajfutmk%3Av%3A45%3Ay%3A2025%3Ai%3A1%3Ap%3A3-22
featured: 2025-01-01
citations: unknown
topic: Portfolio & Allocation
---


# Commodity Futures Selection

The article finds that traditional sample covariance matrix performs better in portfolio selection than both naive allocation and advanced covariance estimators, challenging previous equity-focused studies.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fdoi.org%2F10.1002%2Ffut.22550%3Bh%3Drepec%3Awly%3Ajfutmk%3Av%3A45%3Ay%3A2025%3Ai%3A1%3Ap%3A3-22
- Identifier: RePEc:wly:jfutmk:v:45:y:2025:i:1:p:3-22
- Released: 2025-01-01
- First featured: Quant Letter No. 80 (2025-01-01): https://www.ml-quant.com/issues/2025-01-01/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

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