Commodity Dependence and Optimal Asset Allocation

Vianney Dequiedt (), Mathieu Gomes, Kuntara Pukthuanthong and Benjamin Williams-Rambaud ()
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Vianney Dequiedt: FERDI - Fondation pour les Etudes et Recherches sur le Développement International, CERDI - Centre d'Études et de Recherches sur le Développement International - IRD - Institut de Recherche pour le Développement - CNRS - Centre National de la Recherche Scientifique - UCA - Université Clermont Auvergne
Mathieu Gomes: CleRMa - Clermont Recherche Management - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand - UCA - Université Clermont Auvergne, UCA - Université Clermont Auvergne, IAE - UCA - Institut d'Administration des Entreprises - Clermont-Auvergne - UCA - Université Clermont Auvergne
Kuntara Pukthuanthong: Mizzou - University of Missouri [Columbia] - University of Missouri System

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Abstract: ABSTRACT We present a model to explain the diversification benefits of incorporating commodities into a portfolio of traditional assets from the perspective of domestic investors. Utilizing a sample of 38 countries from 2000 to 2020, we show that investors in high‐commodity dependence countries generally do not benefit from adding commodities to their portfolios while investors located in low‐commodity dependence countries usually do. Our results thus show that local contexts matter and that commodities may augment a diversified portfolio if investors are not excessively exposed to commodity risk through their country's economic structure.

Date: 2025-01-20
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Published in Journal of Futures Markets, 2025, ⟨10.1002/fut.22563⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04902545

DOI: 10.1002/fut.22563

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