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- W4386496952 abstract "In this article we assess the safe-haven, hedging, and diversifying properties of agricultural commodity futures with respect to the S&P 500 index between 1999 and 2021. Our analyses reveal that various agricultural commodities (such as coffee, corn, soybeans, and wheat) exhibit safe-haven and/or hedging properties against the S&P500 index. We further show that a small exposure to agricultural commodities enables a significant reduction in a stock portfolio’s downside risk as proxied by semi standard deviation and value at risk." @default.
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- W4386496952 date "2023-09-07" @default.
- W4386496952 modified "2023-10-16" @default.
- W4386496952 title "The Safe-Haven and Hedging Properties of Agricultural Commodities" @default.
- W4386496952 doi "https://doi.org/10.3905/jwm.2023.1.218" @default.
- W4386496952 hasPublicationYear "2023" @default.
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