By the way, in the same video, did Robert Shiller really advise Norway and Mexico to take up massive short oil futures positions just to get them on to the efficient frontier? He forgets to mention here that in doing so in such a size, you're bound to impact the underlying oil market, adversely, so that cost needs to be written against the benefit you'd have in moving closer to a more efficient national portfolio. Another cost would be the cost of all those short futures would increase the basis between oil futures and oil itself. You'd be paying that price on an ongoing basis as each future rolled. Thirdly there's the mark to market issue. Fourth there's the issue of which magnitude to short, the extracted oil only? The total resource in the country? Not at all quite as clear cut advice as he makes it sound here.
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