Optimizing Portfolios for the BREXIT: An Equity-Commodity Analysis of US, European and BRICS Markets
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14 avril 2023
- handle: 10670/1.e2pyk8
- halshs: halshs-04068644
info:eu-repo/semantics/OpenAccess
Mots-clés
Equity markets commodity markets BREXIT portfolio optimization -fin]/Computational Finance [q-fin.CP]Sujets proches
Trading, Stock Common stocks Stock offerings Stock issues Equity financing Stock trading Common shares Equity capital Shares of stock Equities Funds Funding Finance, commerce, confiscations, etcCiter ce document
Ayedi Ahmed et al., « Optimizing Portfolios for the BREXIT: An Equity-Commodity Analysis of US, European and BRICS Markets », HAL-SHS : économie et finance, ID : 10670/1.e2pyk8
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Résumé
The objective of this study is to create optimal two-asset portfolios consisting of stocks from Western Europe, the United States, and the BRICS (Brazil, China, India, Russia, and South Africa), as well as sixteen commodity types during the BREXIT period. We utilized dynamic variances and covariances from the GARCH model to derive weights for the two-asset portfolios, with each portfolio consisting of one equity factor and one commodity factor. Subsequently, hedge ratios were calculated for these various assets. Our findings indicate that portfolios consisting of European stocks do not require the inclusion of commodities, whereas the other equities do.