TY - JOUR
T1 - Dependence and risk management of portfolios of metals and agricultural commodity futures
AU - Hanif, Waqas
AU - Mensi, Walid
AU - Vo, Xuan Vinh
AU - BenSaïda, Ahmed
AU - Hernandez, Jose Arreola
AU - Kang, Sang Hoon
N1 - Publisher Copyright:
© 2023 Elsevier Ltd
PY - 2023/5
Y1 - 2023/5
N2 - This paper examines the dependence structure and the portfolio allocation characteristics of a main industrial portfolio metals (gold, platinum, palladium, aluminum, silver, copper, zinc, lead, and nickel), and of an agricultural commodities portfolio (wheat, corn, soybeans, coffee, sugar cane, sugar beets, cocoa, cotton, and lumber). Our methodology is based on regular vine copulas and the conditional Value-at-Risk. The motivation to investigate the dependence structure and connectedness between agricultural, and metal commodities is to identify ways in which agricultural and metal commodities can hedge each other and to explore the possibilities of parallel investments. The results indicate that the dependence dynamics of the main metals portfolio are characterized by symmetric features. However, the dependence dynamics of the agricultural commodities portfolio are characterized by symmetric and asymmetric features; symmetric dynamics are predominant. Finally, the metal commodities portfolio is observed to be less risky for financial resource allocation during the global financial crisis.
AB - This paper examines the dependence structure and the portfolio allocation characteristics of a main industrial portfolio metals (gold, platinum, palladium, aluminum, silver, copper, zinc, lead, and nickel), and of an agricultural commodities portfolio (wheat, corn, soybeans, coffee, sugar cane, sugar beets, cocoa, cotton, and lumber). Our methodology is based on regular vine copulas and the conditional Value-at-Risk. The motivation to investigate the dependence structure and connectedness between agricultural, and metal commodities is to identify ways in which agricultural and metal commodities can hedge each other and to explore the possibilities of parallel investments. The results indicate that the dependence dynamics of the main metals portfolio are characterized by symmetric features. However, the dependence dynamics of the agricultural commodities portfolio are characterized by symmetric and asymmetric features; symmetric dynamics are predominant. Finally, the metal commodities portfolio is observed to be less risky for financial resource allocation during the global financial crisis.
KW - Commodity futures markets
KW - CVaR
KW - Portfolio optimization
KW - Tail dependence
KW - Vine copula
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U2 - 10.1016/j.resourpol.2023.103567
DO - 10.1016/j.resourpol.2023.103567
M3 - Article
AN - SCOPUS:85152623678
SN - 0301-4207
VL - 82
JO - Resources Policy
JF - Resources Policy
M1 - 103567
ER -