Researchers from Pusan National University Report Findings in Risk Management (Dependence and Risk Management of Portfolios of Metals and Agricultural Commodity Futures): Risk Management

2023 JUN 09 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Researchers detail new data in Risk Management. According to news reporting out of Pusan, South Korea, by NewsRx editors, research stated, “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.”

Funders for this research include Fundacao para a Ciencia e a Tecnologia (FCT), Ministry of Education (MOE), Republic of Korea, National Research Foundation of Korea, University of Economics Ho Chi Minh City, Vietnam.

Our news journalists obtained a quote from the research from Pusan National University, “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.”

According to the news editors, the research concluded: “Finally, the metal commodities portfolio is observed to be less risky for financial resource allocation during the global financial crisis.”

This research has been peer-reviewed.

For more information on this research see: Dependence and Risk Management of Portfolios of Metals and Agricultural Commodity Futures. Resources Policy, 2023;82. Resources Policy can be contacted at: Elsevier Sci Ltd, The Boulevard, Langford Lane, Kidlington, Oxford OX5 1GB, Oxon, England. (Elsevier - www.elsevier.com; Resources Policy - http://www.journals.elsevier.com/resources-policy/)

Our news journalists report that additional information may be obtained by contacting Sang Hoon Kang, Pusan National University, Pnu Business Sch, Pusan, South Korea. Additional authors for this research include Waqas Hanif, Walid Mensi, Xuan Vinh Vo and Ahmed BenSaida.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.resourpol.2023.103567. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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