商品依赖与最优资产配置

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2025-01-20 DOI:10.1002/fut.22563

Vianney Dequiedt, Mathieu Gomes, Kuntara Pukthuanthong, Benjamin Williams-Rambaud

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引用次数: 0

摘要

我们提出了一个模型来解释从国内投资者的角度将商品纳入传统资产组合的多元化利益。利用2000年至2020年38个国家的样本，我们表明，高度依赖大宗商品的国家的投资者通常不会从将大宗商品加入其投资组合中受益，而低依赖大宗商品的国家的投资者通常会受益。因此，我们的研究结果表明，当地环境很重要，如果投资者没有通过其国家的经济结构过度暴露于商品风险中，商品可能会增加多元化的投资组合。

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Commodity Dependence and Optimal Asset Allocation

We present a model to explain the diversification benefits of incorporating commodities into a portfolio of traditional assets from the perspective of domestic investors. Utilizing a sample of 38 countries from 2000 to 2020, we show that investors in high-commodity dependence countries generally do not benefit from adding commodities to their portfolios while investors located in low-commodity dependence countries usually do. Our results thus show that local contexts matter and that commodities may augment a diversified portfolio if investors are not excessively exposed to commodity risk through their country's economic structure.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.