Making a Markowitz portfolio with agricultural commodity futures

Making a Markowitz portfolio with agricultural commodity futures

This paper constructs a minimum-variance portfolio of six agricultural futures. We make a full sample analysis as well as a pre-COVID and COVID examination. Using Markowitz portfolio optimisation, we find that soybean futures have the highest share (31%) in the full sample portfolio because it has t...

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Bibliographic Details
Main Authors: Dejan Živkov, Suzana Balaban, Marijana Joksimović
Format: Article
Language:English
Published: Czech Academy of Agricultural Sciences 2022-01-01
Series:Agricultural Economics (AGRICECON)
Subjects:
covid crisis
efficient frontier line
hedge effectiveness index
minimum-variance portfolio
pre-covid and covid subsamples
subsample analysis
Online Access:https://agricecon.agriculturejournals.cz/artkey/age-202206-0003_making-a-markowitz-portfolio-with-agricultural-commodity-futures.php

Internet

https://agricecon.agriculturejournals.cz/artkey/age-202206-0003_making-a-markowitz-portfolio-with-agricultural-commodity-futures.php

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