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Optimizing Portfolios for the Brexit: An Equity-Commodity Analysis of Us, European and BRICS Markets

Author

Listed:
  • Ahmed Ayadi

    (LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8)

  • Marjène Rabah Gana

    (IHEC - Institut des hautes études commerciales (Carthage, Tunisie) - UCAR - Université de Carthage (Tunisie) = University of Carthage)

  • Stephane Goutte
  • Khaled Guesmi

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Ahmed Ayadi & Marjène Rabah Gana & Stephane Goutte & Khaled Guesmi, 2023. "Optimizing Portfolios for the Brexit: An Equity-Commodity Analysis of Us, European and BRICS Markets," Working Papers hal-04450372, HAL.
    • Handle: RePEc:hal:wpaper:hal-04450372
    DOI: 10.2139/ssrn.4418558
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    Cited by:

    1. Ko, Hyungjin & Son, Bumho & Lee, Jaewook, 2024. "A novel integration of the Fama–French and Black–Litterman models to enhance portfolio management," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).

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