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

Author

Listed:
  • Ahmed Ayadi
  • Marjène Rabah Gana
  • Stéphane Goutte

    (SOURCE - SOUtenabilité et RésilienCE - UVSQ - Université de Versailles Saint-Quentin-en-Yvelines - IRD [France-Nord] - Institut de Recherche pour le Développement)

  • Khaled Guesmi

    (PSB - Paris School of Business - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université)

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.

Suggested Citation

  • Ahmed Ayadi & Marjène Rabah Gana & Stéphane Goutte & Khaled Guesmi, 2023. "Optimizing portfolios for the BREXIT: An equity-commodity analysis of US, European and BRICS markets," Post-Print hal-04294674, HAL.
    • Handle: RePEc:hal:journl:hal-04294674
    DOI: 10.1016/j.intfin.2023.101863
    as

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