Is wine a good choice for investment?

Elie Bouri (), Rangan Gupta, Wing-Keung Wong and Zhenzhen Zhu

Pacific-Basin Finance Journal, 2018, vol. 51, issue C, 171-183

Abstract: We extend our understanding on the role of wine investment within a portfolio of different assets (US/UK equities, bonds, gold, and housing) by considering a rich methodology based, among others, on the mean-variance and stochastic-dominance approaches. The main findings suggest that wine is the best investment among all individual assets under study, and investors prefer to invest in with-wine portfolios than without-wine portfolios to gain higher expected utility when short selling is not allowed. However, investors are indifferent between portfolios with and without wine when short-selling is allowed. In addition, with-wine portfolios generally either dominate individual assets or investors are indifferent in choosing between individual assets. Interestingly, the with-wine portfolios first-order stochastically dominate housing in both the long-only and short-allowed strategies, pointing towards market inefficiency. Finally, we reveal that investors prefer the low-risk with-wine portfolios to the equal-weighted portfolios but are indifferent between the high-risk with-wine portfolios and the naïve portfolios for both long-only and short-allowed strategies. Our findings can be used by investors in their investment processes, and reveal the possibility of earning abnormal returns when wine is included in the investment.

Keywords: Wine investment; Mean-variance portfolio optimization; Mean-risk criterion; Stochastic dominance; Asset classes (search for similar items in EconPapers)
JEL-codes: C10 G10 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

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Working Paper: Is Wine a Good Choice for Investment? (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:51:y:2018:i:c:p:171-183

DOI: 10.1016/j.pacfin.2018.07.002

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