Optimizing portfolios for the BREXIT: An equity-commodity analysis of US, European and BRICS markets

Ahmed Ayadi, Marjène Gana, Stéphane Goutte and Khaled Guesmi

Journal of International Financial Markets, Institutions and Money, 2023, vol. 89, issue C

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
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Related works:
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)
Working Paper: Optimizing Portfolios for the BREXIT: An Equity-Commodity Analysis of US, European and BRICS Markets (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001312

DOI: 10.1016/j.intfin.2023.101863

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