MODELS FOR MANAGING RISK OF CAPITAL INVESTMENTS IN AGRI-FOOD SECTOR

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Published:
Dec 28, 2013
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No. 10(59) (2013)
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Bolesław Borkowski
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie, Wydział Zastosowań Informatyki i Matematyki, Katedra Ekonometrii i Statystyki
Monika Krawiec
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie, Wydział Zastosowań Informatyki i Matematyki, Katedra Ekonometrii i Statystyki

DOI: https://doi.org/10.22630/PEFIM.2013.10.59.63
Keywords : commodity investments, portfolio diversification, Markowitz model
Abstract
It is commonly believed that adding commodities to an portfolio of stocks or bonds allows to obtain diversification benefits. The aim of the paper was to analyze possibilities of portfolio diversification by the use of indirect commodity investments (stocks of commodity-related companies and commodity futures). We estimate several portfolios: portfolio 1 that includes 5 stocks of companies whose business activity is unrelated to commodity sector, portfolio 2 containing 5 stocks of commodity-related companies (including food processing enterprises), portfolio 3 consisting of futures contracts on 5 different commodities (including contracts on agricultural items), and portfolio 4 comprising 15 considered assets. In order to set portfolio structures, classical Markowitz approach is applied. Results show that adding commodities to a stock portfolio yields in reducing portfolio risk and increasing portfolio expected return.

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How to Cite
Borkowski, B., & Krawiec, M. (2013). MODELS FOR MANAGING RISK OF CAPITAL INVESTMENTS IN AGRI-FOOD SECTOR. The Scientific Journal European Policies, Finance and Marketing, (10(59), 64–78. https://doi.org/10.22630/PEFIM.2013.10.59.63
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