Optimizing Portfolios for the BREXIT: An Equity-Commodity Analysis of US, European and BRICS Markets

Ayedi Ahmed, Marjène Gana (), Stéphane Goutte and Khaled Guesmi
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Ayedi Ahmed: UP8 - Université Paris 8 Vincennes-Saint-Denis
Marjène Gana: HEC Montréal - HEC Montréal
Khaled Guesmi: PSB - Paris School of Business - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université

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Abstract: 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.

Keywords: Equity markets; commodity markets; BREXIT; portfolio optimization (search for similar items in EconPapers)
Date: 2023-04-14
New Economics Papers: this item is included in nep-cis and nep-sea
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-04068644v1
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Related works:
Journal Article: Optimizing portfolios for the BREXIT: An equity-commodity analysis of US, European and BRICS markets (2023)
Working Paper: Optimizing portfolios for the BREXIT: An equity-commodity analysis of US, European and BRICS markets (2023)
Working Paper: Optimizing Portfolios for the Brexit: An Equity-Commodity Analysis of Us, European and BRICS Markets (2023)
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