On the role of commodity futures in portfolio diversification

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buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage2394en_US
dc.citation.spage2374
dc.citation.volumeNumber30
dc.contributor.authorLean, H. H.
dc.contributor.authorNguyen, D. K.
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorUddin, G. S.
dc.date.accessioned2024-03-14T13:36:48Z
dc.date.available2024-03-14T13:36:48Z
dc.date.issued2021-09-20
dc.departmentDepartment of Management
dc.description.abstractThe last two decades have witnessed major financial crises that led investors to seek alternative assets and investment strategies to reduce their portfolio risk. In this article, we provide information on the role of commodity futures in designing portfolios and managing risk based on an appealing operational framework. Using more than 20 years of sample data, we first investigate the conditional mean and volatility dynamics of equity and commodity futures markets within a dynamic conditional correlation model setup. We then form alternative equity-commodity futures portfolios by changing the weights of commodity futures and examine if the diversified commodity-equity portfolios perform superior to the all-equity portfolios and four well-known investment strategies that suit most practitioners. Stochastic dominance approach shows that including commodity futures in diversified portfolios does not always improve the risk-return performance, except for gold in some particular portfolio setups. Accordingly, commodity assets have behaved like financial assets (stocks) and tend to be driven by the same pricing factors in general, which reduces the benefits of diversification.
dc.description.provenanceMade available in DSpace on 2024-03-14T13:36:48Z (GMT). No. of bitstreams: 1 On_the_role_of_commodity_futures_in_portfolio_diversification.pdf: 622796 bytes, checksum: dd73b1bc0dbb5a233e7a93df1ca39c90 (MD5) Previous issue date: 2021-09-20en
dc.identifier.doi10.1111/itor.13067
dc.identifier.eissn1475-3995
dc.identifier.issn0969-6016
dc.identifier.urihttps://hdl.handle.net/11693/114761
dc.language.isoen
dc.publisherJohn Wiley and Sons Inc
dc.relation.isversionofhttps://doi.org/10.1111/itor.13067
dc.rightsCC BY 4.0 DEED (Atribuire 4.0 Internațional)
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.source.titleInternational Federation of Operational Research Societies
dc.subjectCommodity futures
dc.subjectEquity markets
dc.subjectPortfolio diversification
dc.subjectStochastic dominance
dc.titleOn the role of commodity futures in portfolio diversification
dc.typeArticle

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