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Tom Erik Sønsteng Henriksen

Bio: Tom Erik Sønsteng Henriksen is an academic researcher from Norwegian University of Life Sciences. The author has contributed to research in topics: Asset allocation & Diversification (finance). The author has an hindex of 4, co-authored 4 publications receiving 35 citations.

Papers
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Journal ArticleDOI
TL;DR: In this paper, the authors examined the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models and enhanced the flexibility of this structure by modeling regimes with multivariate mixture copulas and by applying the dynamic conditional correlation model (DCC) to multivariate elliptical copulas.

14 citations

Journal ArticleDOI
TL;DR: It is found that the stock and bond indices tend to dominate the individual commodities by investigating second order stochastic dominance relations, and whether commodities should be included as an asset class when establishing portfolios is discussed.
Abstract: In this article we discuss whether commodities should be included as an asset class when establishing portfolios. By investigating second order stochastic dominance relations, we find that the stock and bond indices tend to dominate the individual commodities. We further study if we can find a combination of stocks, bonds and commodities that dominate others. Compared to a 60% stock and 40% bond portfolio mix, portfolios consisting of long positions in gold futures and two different actively managed indices are the only commodity investments to be included as long positions in a stock/bond portfolio. The results should be of interest for fund managers and traders that seek to improve their risk-return trade off compared to the traditional 60/40 portfolio.

13 citations

Journal ArticleDOI
TL;DR: Henriksen et al. as mentioned in this paper analyzed the performance effects of including long/short commodity indices in more conventional stock-bond portfolios using out-of-sample tests over different periods and by employing different asset allocation strategies.
Abstract: Over the past two decades, commodity-linked products have become increasingly popular as an alternative asset class for many investors. This is mainly because long positions in commodities potentially offer diversification benefits in portfolios comprising other more traditional assets. Commodities also arguably provide equity-like returns and act as an inflation hedge. However, there is an ongoing debate concerning long-only positions in commodities as an adequate investment vehicle, especially given observed low or negative returns and increased correlation with other more common asset classes, as given periodically. The purpose of this article is to analyze the performance effects of including long/short commodity indices in more conventional stock–bond portfolios using out-of-sample tests over different periods and by employing different asset allocation strategies. Overall, the author identifies benefits of commodity inclusion from 2002 to 2011, but these benefits largely disappear from 2011 to 2015. An intriguing finding is that Henriksen observes a much lower risk-adjusted performance for the commodity indices after their launch date.

12 citations

Journal ArticleDOI
TL;DR: In this paper, the authors evaluate the out-of-sample diversification benefits of including hedge fund indexes in global stock-bond portfolios and find no significant increase in performance when hedge funds are included in a portfolio, compared to a well-diversified portfolio as a benchmark.
Abstract: This study evaluates the out-of-sample diversification benefits of including hedge fund indexes in global stock-bond portfolios. The topic is investigated by assessing several asset allocation strategies from 1998 to 2016. Interestingly, the findings show, in general, no significant increase in performance when hedge funds are included in a portfolio, compared to a well-diversified portfolio as a benchmark. A certain degree of risk reduction is observed when including hedge funds in the portfolio, but the performance does not improve significantly, on average. This study extends the literature on portfolio performance when including hedge funds in a multi-asset portfolio, using more asset allocation strategies and a comprehensive dataset compared to previous studies. TOPICS:Real assets/alternative investments/private equity, portfolio construction, performance measurement, risk management

5 citations


Cited by
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Journal ArticleDOI
TL;DR: In this article, a new definition of a weak and strong safe-haven within a bivariate cross-quantilogram approach was proposed, which considers the lowest tails of both the safe-avenance asset and the stock index.

392 citations

Journal ArticleDOI
TL;DR: In this article, the authors compare the safe-haven properties of Bitcoin, gold, and the commodity index against world, developed, emerging, USA, and Chinese stock market indices for the period 20 July 2010-22 February 2018.

238 citations

01 Jan 2011
TL;DR: In this article, the authors developed two new methods of mean-variance portfolio selection (volatility timing and reward-to-risk timing) that deliver portfolios characterized by low turnover and showed that these timing strategies outperform naive diversification even in the presence of high transaction costs.
Abstract: DeMiguel, Garlappi, and Uppal (2009) report that naive diversification dominates mean-variance optimization in out-of-sample asset allocation tests. Our analysis suggests that this is largely due to their research design, which focuses on portfolios that are subject to high estimation risk and extreme turnover. We find that mean-variance optimization often outperforms naive diversification, but turnover can erode its advantage in the presence of transaction costs. To address this issue, we develop 2 new methods of mean-variance portfolio selection (volatility timing and reward-to-risk timing) that deliver portfolios characterized by low turnover. These timing strategies outperform naive diversification even in the presence of high transaction costs.

164 citations

Journal ArticleDOI
TL;DR: In this paper, the safe-haven role of twelve assets against the US stock market during the 2008 global financial crisis (GFC) and the COVID-19 pandemic was evaluated.

62 citations

Journal ArticleDOI
TL;DR: The results show that when push comes to shove, the buck stops with the USD and gold and that the exorbitant privilege enjoyed by the USD prevailed during the COVID-19 pandemic.

54 citations