Risk-free rate

Average return

Risk aversion

Optimal variance

energy

S & P 500

Agriculture

metals

0.000300

[1.56%]

0.000731

[3.80%]

0.00248

[12.90%]

0.00282

[14.66%]

3.608416

2.946562

0.000604

(3.14%/17.72%)

0.000709

(3.69%/19.20%)

−0.34156

−0.40493

0.7691061

0.8273316

0.040951

−0.031510

0.531503

0.609105