Kuzman, Boris and Živkov, Dejan (2024) Challenges in Protecting Green Energy Entrepreneurs in Wheat Industry Against Financial Risk: The Portfolio Optimization Approach. In: Entrepreneurship and Development for a green resilient economy. Emerald Insight, pp. 229-250. ISBN 978-1-83797-089-6
Full text not available from this repository.Abstract
This chapter tries to hedge extreme financial risk of entrepreneurs who work with wheat by combining wheat with four stock indices of developed and emerging European markets in a portfolio. Extreme risk of the portfolios is measured by the parametric and historical value-at-risk (VaR) metrics. Portfolios that target maximum return-to-VaR ratio are also constructed because different market participants prefer different goals. Preliminary equicorrelation results indicate that integration between wheat and emerging markets is lower (0.218) vis-á-vis the combination of wheat and developed markets (0.307), which gives preliminary advantage to emerging markets in diversification efforts. The results show that portfolios with emerging stock indices have significantly lower parametric (–0.816) and historical (–0.831) VaR than portfolios with developed indices, –1.080 and –1.295, respectively. As for optimal portfolios, the portfolios with developed indices have a slight upper hand. This chapter shows that parametric VaR is not a good measure of extreme risk, because it neglects the third and fourth moments.
| Item Type: | Book Section |
|---|---|
| Uncontrolled Keywords: | parametric value-at-risk, historical value-at-risk, portfolio optimization, equicorrelation, GJR-GARCH model |
| Depositing User: | Unnamed user with email srdjan.jurlina@ien.bg.ac.rs |
| Date Deposited: | 08 Jul 2024 10:31 |
| Last Modified: | 08 Jul 2024 10:31 |
| URI: | http://repository.iep.bg.ac.rs/id/eprint/812 |
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