Optimizing portfolios for the BREXIT: An equity-commodity analysis of US, European and BRICS markets

Khaled GUESMI, Stephane GOUTTE, Ahmed AYADI, Marjène GANA

The objective of this study is to create optimal two-asset portfolios consisting of stocks from Western Europe, the United States, and the BRICS (Brazil, China, India, Russia, and South Africa), as well as sixteen commodity types during the BREXIT period. We utilized dynamic variances and covariances from the GARCH model to derive weights for the two-asset portfolios, with each portfolio consisting of one equity factor and one commodity factor. Subsequently, hedge ratios were calculated for these various assets. Our findings indicate that portfolios consisting of European stocks do not require the inclusion of commodities, whereas the other equities do.

Publication type: 
Scientific Article
Date de parution: 
Journal of International Financial Markets, Institutions and Money