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
Tammam Mouakhar
is senior advisor in Investment Policy Research at Caisse de dépôt et placement du Québec in Montréal, Canada.
Mathieu Roberge
is an analyst in Financial Market Modeling at Caisse de dépôt et placement du Québec in Montréal, Canada.
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In this issue
The Journal of Alternative Investments
Vol. 12, Issue 3
Winter 2010
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