How to reduce the extreme risk of losses in corn and soybean markets? Construction of a portfolio with European stock indices

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Because of the COVID-19 pandemic and the war in Ukraine, agricultural commodities had significant price increases, which inevitably implies high risk. In this article, we try to mitigate the extreme risk of corn and soybeans by constructing multivariate portfolios with developed and emerging European stock indices. We measured extreme risk via conditional value at risk. To address different goals that investors might prefer, we produced portfolios with the lowest risk and highest return-to-risk ratio. According to the results, corn and soybeans had relatively high portfolio shares. However, they are the riskiest assets because they have a very low pairwise correlation with the stock indices. Portfolios with emerging European indices had better risk-reducing results, considering both agricultural commodities because these indices are less risky than developed indices. In particular, the risk reductions of corn were 38% and 50% in the portfolios with developed and emerging stock indices, respectively, whereas, for soybeans, the results were 28% and 41%, respectively. In optimal portfolios, emerging European stock indices had the upper hand in most cases. … celý popis

Podrobná bibliografie

Hlavní autor

Dejan Živkov

Další autoři

Biljana Stankov, Nataša Papić-Blagojević, Jelena Damnjanović, Željko Račić

Typ dokumentu

Články

Fyzický popis

Ilustrace

Publikováno v

Agricultural Economics. -- ISSN 0139-570X. -- Roč. 69, č. 3 (2023), s. 109-118

Témata

WESTERN EUROPE

EASTERN EUROPE

WORLD MARKETS

zemědělské produkty

SOYBEANS

MAIZE

INVESTMENT

ASSETS

Returns

risk analysis

Economic losses

TIME SERIES ANALYSIS

zboží

západní Evropa

východní Evropa

světové trhy

sója

kukuřičné zrno

ceny zemědělských produktů

investice

aktiva

obrat

riziková analýza

ekonomické ztráty

analýza časových řad

komoditní trhy > optimální portfolio > Střední Evropa > burzovní indexy > vývoj trhu v čase

více… méně…

Popis jednotky

3 grafy, 4 tabulky

Bibliografie

Seznam literatury na s. 117-118 (22 záznamů)