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EnglishWe study the performance of diamonds compared to gold and other precious metals in mitigating the tail risk of a diversified equity market portfolio over the period June 2007 to October 2018. Our results display a diversification benefit of some diamond indices, which also improve the portfolio reward-to-risk ratio. To corroborate this evidence, we study the dependence structure and tail dependence of diamonds and a broad equity market portfolio and compare it to the dependence obtained with gold and other precious metals. Results from fitting a bivariate copula show that the average left tail dependence reaches its minimum when diamonds are used. We also show that using shares of diamond-mining companies does not provide the same benefits.
| Titolo: | Diamonds and Precious Metals for Reduction of Portfolio Tail Risk |
| Autore/i: | Barbi, M.; Geman, H.; Romagnoli, S. |
| Autore/i Unibo: | |
| Anno: | 2020 |
| Rivista: | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1080/00036846.2019.1696938 |
| Abstract: | We study the performance of diamonds compared to gold and other precious metals in mitigating the tail risk of a diversified equity market portfolio over the period June 2007 to October 2018. Our results display a diversification benefit of some diamond indices, which also improve the portfolio reward-to-risk ratio. To corroborate this evidence, we study the dependence structure and tail dependence of diamonds and a broad equity market portfolio and compare it to the dependence obtained with gold and other precious metals. Results from fitting a bivariate copula show that the average left tail dependence reaches its minimum when diamonds are used. We also show that using shares of diamond-mining companies does not provide the same benefits. |
| Data stato definitivo: | 2020-05-18T11:57:51Z |
| Appare nelle tipologie: | 1.01 Articolo in rivista |
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