The Optimal Approach to Futures Contract Roll in Commodity Portfolios

Tammam Mouakhar and Mathieu Roberge
The Journal of Alternative Investments Winter 2010, 12 (3) 51-60; DOI: https://doi.org/10.3905/JAI.2010.12.3.051

Article Information

vol. 12 no. 3 51-60
DOI 
https://doi.org/10.3905/JAI.2010.12.3.051
Published By 
Pageant Media Ltd
Print ISSN 
1520-3255
Online ISSN 
2168-8435
History 
  • Published online December 31, 2009.
Copyright & Usage 
© 2010 Pageant Media Ltd

Author Information

  1. Tammam Mouakhar
    1. is senior advisor in Investment Policy Research at Caisse de dépôt et placement du Québec in Montréal, Canada. (tmouakhar{at}lacaisse.com)
  2. Mathieu Roberge
    1. is an analyst in Financial Market Modeling at Caisse de dépôt et placement du Québec in Montréal, Canada. (mroberge{at}lacaisse.com)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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The Optimal Approach to Futures Contract Roll in Commodity Portfolios
Tammam Mouakhar, Mathieu Roberge
The Journal of Alternative Investments Dec 2009, 12 (3) 51-60; DOI: 10.3905/JAI.2010.12.3.051
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