Looking Beyond Wine Risk-Adjusted Performance

Frantz Maurer, Jean-Marie Cardebat () and Linda Jiao
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Linda Jiao: Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux

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Abstract: In this paper, we use copula-GARCH models applied to daily data from March 2010 to March 2018 to test the time-varying dependence of the Liv-ex 50, a secondary market fine wine index comprised of the ten most recent vintages of the five Bordeaux First Growths, with a portfolio composed of the six main stock markets (S&P 500, CAC 40, DAX 30, FTSE 100, and Hang Seng). Our results suggest that the Liv-ex 50 underperforms the six stock indexes, but provides diversification benefits in terms of volatility, asymmetry, and extreme events.

Keywords: alternative assets; copulas; portfolio management; wine (search for similar items in EconPapers)
Date: 2020-05
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Published in Journal of Wine Economics, 2020, 15 (2), pp.229-259. ⟨10.1017/jwe.2020.18⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03675452

DOI: 10.1017/jwe.2020.18

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