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https://www.um.edu.mt/library/oar/handle/123456789/31221
Title: | Portfolio diversification in extreme environments : are there benefits from adding commodity futures indices? |
Authors: | Batavia, Bala Parameswar, Nandakumar Wague, Cheick |
Keywords: | Portfolio management Equity Stock exchanges Risk-return relationships Diversification in industry |
Issue Date: | 2012 |
Publisher: | University of Piraeus. International Strategic Management Association |
Citation: | Batavia, B., Parameswar, N., & Wague, C. (2012). Portfolio diversification in extreme environments : are there benefits from adding commodity futures indices? European Research Studies Journal, 15(3), 33-48. |
Abstract: | Diversifying into commodity futures indices to improve risk-return trade-offs had seemed an inviting prospect a couple of decades ago, due to the increasing correlations between equities themselves and the stable low or negative correlations they exhibited with commodities. But there is a view gaining ground now that the benefits of stock portfolio diversification into commodities have died out due to further changes in the correlation matrices, particularly occurring in times of extreme events. This paper readdresses the aforesaid issue for the period 1999-2010, disaggregated into periods so as to bracket bull and bear phases with large changes in returns. Data for the most important equity and commodity indices are used. One interesting finding is that the role of commodities in optimum portfolio diversification may be more relevant in bear phases. |
URI: | https://www.um.edu.mt/library/oar//handle/123456789/31221 |
Appears in Collections: | European Research Studies Journal, Volume 15, Issue 3 |
Files in This Item:
File | Description | Size | Format | |
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ERSJ,_15(3)_-_A2.pdf | 290.29 kB | Adobe PDF | View/Open |
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