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

Ahmed Ayadi, Marjène Rabah Gana, Stéphane Goutte and Khaled Guesmi
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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: BREXIT; Commodity markets; Equity markets; Portfolio optimization (search for similar items in EconPapers)
Date: 2023
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Published in Journal of International Financial Markets, Institutions and Money, 2023, 89, ⟨10.1016/j.intfin.2023.101863⟩

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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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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04294674

DOI: 10.1016/j.intfin.2023.101863

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