文章基本信息

标题：Measuring the risk-adjusted performance of selected soft agricultural commodities
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作者：Dejan Živkov ; Boris Kuzman ; Jonel Subić 等
期刊名称：Agricultural Economics
印刷版ISSN：0139-570X
电子版ISSN：1805-9295
出版年度：2022
卷号：68
期号：3
页码：87-96
DOI：10.17221/298/2021-AGRICECON
语种：English
出版社：Czech Academy of Agricultural Sciences
摘要：In this paper, we used several elaborate return-to-risk methods to investigate the risk-adjusted performances of five soft commodities. Regarding only the level of risk, we found that cocoa had the highest risk of losses, followed by orange juice. Cotton and coffee had the lowest risk of losses. However, according to the return-to-risk output, cotton was the worst asset in which to invest because it had negative average returns. In contradistinction, sugar had a relatively high risk of losses but also the highest average returns, which put it in the first place according to the Sharpe, Sortino and modified Sharpe ratios. Although orange juice had the second-worst downside risk performance, it came in second place according to the return-to-risk ratio because it had relatively high average returns.
关键词：conditional volatility model;downside risk;return-to-risk methods