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On the role of comm...
On the role of commodity futures in portfolio diversification
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- Lean, Hooi Hooi (författare)
- Univ Sains Malaysia, Malaysia
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- Nguyen, Duc Khuong (författare)
- IPAG Business Sch, France; Vietnam Natl Univ, Vietnam
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- Sensoy, Ahmet (författare)
- Bilkent Univ, Turkey
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- Uddin, Gazi Salah, 1979- (författare)
- Linköpings universitet,Nationalekonomi,Filosofiska fakulteten
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(creator_code:org_t)
- 2021-10-18
- 2023
- Engelska.
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Ingår i: International Transactions in Operational Research. - : WILEY. - 0969-6016 .- 1475-3995. ; 30:5, s. 2374-2394
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- The last two decades have witnessed major financial crises that led investors to seek alternative assets and investment strategies to reduce their portfolio risk. In this article, we provide information on the role of commodity futures in designing portfolios and managing risk based on an appealing operational framework. Using more than 20 years of sample data, we first investigate the conditional mean and volatility dynamics of equity and commodity futures markets within a dynamic conditional correlation model setup. We then form alternative equity-commodity futures portfolios by changing the weights of commodity futures and examine if the diversified commodity-equity portfolios perform superior to the all-equity portfolios and four well-known investment strategies that suit most practitioners. Stochastic dominance approach shows that including commodity futures in diversified portfolios does not always improve the risk-return performance, except for gold in some particular portfolio setups. Accordingly, commodity assets have behaved like financial assets (stocks) and tend to be driven by the same pricing factors in general, which reduces the benefits of diversification.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Nyckelord
- commodity futures; equity markets; portfolio diversification; stochastic dominance
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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