The Optimal Approach to Futures Contract Roll in Commodity Portfolios

Tammam Mouakhar; Mathieu Roberge

doi:10.3905/JAI.2010.12.3.051

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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.

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For correspondence: tmouakhar@lacaisse.com

Mathieu Roberge

is an analyst in Financial Market Modeling at Caisse de dépôt et placement du Québec in Montréal, Canada.

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For correspondence: mroberge@lacaisse.com

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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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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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