Repository logo
 
Publication

Dependence and risk management of portfolios of metals and agricultural commodity futures

2023Journal article Restricted access
Simple item page
dc.contributor.authorHanif, Waqas
dc.contributor.authorMensi, Walid
dc.contributor.authorVo, Xuan Vinh
dc.contributor.authorBenSaïda, Ahmed
dc.contributor.authorHernandez, Jose Arreola
dc.contributor.authorKang, Sang Hoon
dc.date.accessioned2023-05-30T14:15:23Z
dc.date.available2023-05-30T14:15:23Z
dc.date.issued2023
dc.description.abstractThis paper examines the dependence structure and the portfolio allocation characteristics of a main industrial portfolio metals (gold, platinum, palladium, aluminum, silver, copper, zinc, lead, and nickel), and of an agricultural commodities portfolio (wheat, corn, soybeans, coffee, sugar cane, sugar beets, cocoa, cotton, and lumber). Our methodology is based on regular vine copulas and the conditional Value-at-Risk. The motivation to investigate the dependence structure and connectedness between agricultural, and metal commodities is to identify ways in which agricultural and metal commodities can hedge each other and to explore the possibilities of parallel investments. The results indicate that the dependence dynamics of the main metals portfolio are characterized by symmetric features. However, the dependence dynamics of the agricultural commodities portfolio are characterized by symmetric and asymmetric features; symmetric dynamics are predominant. Finally, the metal commodities portfolio is observed to be less risky for financial resource allocation during the global financial crisis.pt_PT
dc.description.sponsorshipNRF-2022S1A5A2A01038422pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1016/j.resourpol.2023.103567pt_PT
dc.identifier.issn0301-4207
dc.identifier.urihttp://hdl.handle.net/10400.1/19646
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.relationCenter for Advanced Studies in Management and Economics
dc.subjectCommodity futures marketspt_PT
dc.subjectTail dependencept_PT
dc.subjectPortfolio optimizationpt_PT
dc.subjectVine copulapt_PT
dc.subjectCVaRpt_PT
dc.titleDependence and risk management of portfolios of metals and agricultural commodity futurespt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleCenter for Advanced Studies in Management and Economics
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F04007%2F2020/PT
oaire.citation.startPage103567pt_PT
oaire.citation.titleResources Policypt_PT
oaire.citation.volume82pt_PT
oaire.fundingStream6817 - DCRRNI ID
person.familyNameHanif
person.givenNameWaqas
person.identifier.ciencia-id861A-7BB4-89FE
person.identifier.orcid0000-0002-0034-2049
person.identifier.scopus-author-id57201879548
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsrestrictedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isAuthorOfPublication.latestForDiscovery4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isProjectOfPublication2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d
relation.isProjectOfPublication.latestForDiscovery2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d

Files

Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
1-s2.0-S0301420723002787-main.pdf
Size:
5.62 MB
Format:
Adobe Portable Document Format
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
3.46 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

FEC2-Artigos (em revistas ou actas indexadas)