How to combine precious metals with corn in a risk-minimizing two-asset portfolio?

IF 1.9 4区经济学 Q2 AGRICULTURAL ECONOMICS & POLICY

Agricultural Economics-Zemedelska Ekonomika Pub Date : 2021-02-25 DOI:10.17221/411/2020-AGRICECON

D. Živkov, P. Balaban, B. Kuzman

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引用次数: 3

Abstract

This paper tries to find out which precious metal futures are the best hedging tools for corn spot commodity, taking into account three different risk measures – variance (Var), value at risk (VaR), and conditional value at risk (CVaR). For computation purposes, we use an optimal dynamic conditional correlation (DCC) specification for every considered pair. Our findings indicate that portfolio with gold outperforms the other three precious metals (silver, platinum, and palladium) with respect to all three risk metrics. The reason for such findings is two-fold. First, gold has the lowest average dynamic correlation with corn (below 11%), and gold also has the lowest average risk of all precious metals. The second-best combination is corn-platinum, whereas the corn-silver pair gives the worst hedging results. This happens because silver has the highest average dynamic correlation with corn (14.5%), but more importantly, silver is the riskiest commodity, which makes this asset unsuitable for combining with corn. According to the results, the ratio between corn and gold in a two-asset portfolio should be about 27 : 73.

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如何在风险最小化的双资产组合中结合贵金属和玉米?

本文考虑了方差(Var)、风险价值(Var)和条件风险价值(CVaR)三种不同的风险度量，试图找出哪些贵金属期货是玉米现货商品的最佳对冲工具。为了计算目的，我们对每个考虑的对使用最优动态条件相关(DCC)规范。我们的研究结果表明，就所有三个风险指标而言，黄金投资组合的表现优于其他三种贵金属(银、铂和钯)。这样的发现有两个原因。首先，黄金与玉米的平均动态相关性最低(低于11%)，黄金的平均风险也是所有贵金属中最低的。第二好的组合是玉米-铂金，而玉米-白银组合的对冲效果最差。这是因为白银与玉米的平均动态相关性最高(14.5%)，但更重要的是，白银是风险最高的商品，这使得这种资产不适合与玉米组合。根据结果，在一个双资产组合中，玉米和黄金的比例应该在27:73左右。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Agricultural Economics-Zemedelska Ekonomika Agricultural Economics & Policy-

CiteScore

4.30

自引率

4.50%

发文量

审稿时长

30 weeks

期刊介绍： An international peer-reviewed journal published under the auspices of the Czech Academy of Agricultural Sciences and financed by the Ministry of Agriculture of the Czech Republic. Published since 1954 (by 1999 under the title Zemědělská ekonomika).Thematic scope: original scientific papers dealing with agricultural subjects from the sphere of economics, management, informatics, ecology, social economy and sociology. Since 1993 the papers continually treat problems which were published in the journal Sociologie venkova a zemědělství until now. An extensive scope of subjects in fact covers the whole of agribusiness, that means economic relations of suppliers and producers of inputs for agriculture and food industry, problems from the aspects of social economy and rural sociology and finally the economics of the population nutrition. Papers are published in English.