Futuros agropecuários em portfólios de máxima utilidade esperada
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This study investigates the composition of maximum expected utility portfolio, considering stocks, bonds, gold, dollar and agricultural futures contract, between
August of 1994 and December of 2007. From the optimal combinations of risk-return
(calculated by Markowitz algorithm) and the use of a quadratic utility function (with
different levels of risk aversion), were obtained portfolios that maximizes expected
utility. The commodity futures were not present in the maximum expected utility
portfolios for the complete period, 1994-2000. However, with division of sample in two and three periods, the commodity futures were included in these portfolios during the 2000s. Furthermore, in general, with the risk aversion increase, the participation of these papers in the portfolio had fall.