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Pré-publication, Document de travail Année : 2023

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

Marjène Gana
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Khaled Guesmi

Résumé

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.
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Dates et versions

halshs-04068644, version 1 (14-04-2023)

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  • HAL Id : halshs-04068644 , version 1

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Ayedi Ahmed, Marjène Gana, Stéphane Goutte, Khaled Guesmi. Optimizing Portfolios for the BREXIT: An Equity-Commodity Analysis of US, European and BRICS Markets. 2023. ⟨halshs-04068644⟩
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