Βέλτιστα χαρτοφυλάκια με εμπορεύματα
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Keywords
Χαρτοφυλάκια ; Εμπορεύματα ; Διαπραγματεύσιμα Αμοιβαία Κεφάλαια ; Κίνδυνος χαρτοφυλακίου ; Αποτελεσματικά σύνοραAbstract
Having analyzed the literature which supports or is against the effectiveness of including commodities in investment portfolios, we construct optimal investment strategies consisting of the S&P index and commodities’ ETFs.
We first present some descriptive statistics of the indices and we compare them with other related studies. By constructing optimal portfolios, we show that the risk of a portfolio decreases when we add commodities.
Designing the efficient frontiers, we conclude that Sharp increases and the overall expected risk is further reduced for each level of expected return due to the use of short-selling.
In addition, constructing the efficient frontier, we infer that borrowing could also reduce the overall portfolio’s risk when the required return is set relatively high (at 10.5% and above).
Furthermore, with the use of an out-of-sample dynamic rebalancing of our portfolio, we calculate the realized returns and we prove that they are positive and statistically significant.
Finally, we show that the mean returns of our portfolio are not statistically different from the returns of a stock portfolio. This inference downsizes the benefits of the commodities’ inclusion without cancelling however the diversification benefits and the risk reduction.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
82Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές