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The Journal of Alternative Investments

The Journal of Alternative Investments

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Article

Strategic Allocation to Commodity Factor Premiums

David Blitz and Wilma de Groot
The Journal of Alternative Investments Fall 2014, 17 (2) 103-115; DOI: https://doi.org/10.3905/jai.2014.17.2.103
David Blitz
is head of the Quantitative Equity Research Team at Robeco Asset Management in Rotterdam, The Netherlands.
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  • For correspondence: d.c.blitz@robeco.com
Wilma de Groot
is a portfolio manager at Robeco Asset Management in Rotterdam, The Netherlands.
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  • For correspondence: w.de.groot@robeco.com
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The Journal of Alternative Investments: 17 (2)
The Journal of Alternative Investments
Vol. 17, Issue 2
Fall 2014
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Strategic Allocation to Commodity Factor Premiums
David Blitz, Wilma de Groot
The Journal of Alternative Investments Sep 2014, 17 (2) 103-115; DOI: 10.3905/jai.2014.17.2.103

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Strategic Allocation to Commodity Factor Premiums
David Blitz, Wilma de Groot
The Journal of Alternative Investments Sep 2014, 17 (2) 103-115; DOI: 10.3905/jai.2014.17.2.103
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  • Article
    • Abstract
    • DATA AND METHODOLOGY
    • PREMIUMS IN THE COMMODITY MARKET
    • STRATEGIC ALLOCATION TO COMMODITIES
    • CONCLUDING REMARKS
    • ENDNOTES
    • REFERENCES
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