The Stability of Component Assets in Optimal Portfolios of Stock and Commodity Indexes

Anna Górska; Monika Krawiec

doi:10.22630/PRS.2016.16.4.96

PDF (English)

Opublikowane:

Dec 31, 2016

Numer

Tom 16 Nr 4 (2016)

Dział

Articles

CitedBy/Share

Anna Górska

Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

https://orcid.org/0000-0003-0763-0550

Monika Krawiec

Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

https://orcid.org/0000-0002-4765-244X

DOI: https://doi.org/10.22630/PRS.2016.16.4.96

Abstrakt

The turbulences in financial markets increased the interest in commodity investments as an alternative asset class for potential risk diversification. A plethora of past and present studies documents the diversification benefits achieved by adding commodities to the traditional security portfolios. Most of commodity diversification papers ignore the stability of component assets in the optimal portfolio. This paper examines both, the stability and performance of optimal Markowitz portfolios over time. The portfolios are composed of commodity and stock indexes. Their risk and returns are compared to the risk and return of the equally weighted benchmark portfolio.

Jak cytować

Górska, A., & Krawiec, M. (2016). The Stability of Component Assets in Optimal Portfolios of Stock and Commodity Indexes. Zeszyty Naukowe SGGW W Warszawie - Problemy Rolnictwa Światowego, 16(4), 33–43. https://doi.org/10.22630/PRS.2016.16.4.96

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