Optimal Portfolios of National Currencies, Commodities and Fuel, Agricultural Commodities and Cryptocurrencies during the Russian-Ukrainian Conflict

【Author】 Kyriazis, Nikolaos A.

【Source】INTERNATIONAL JOURNAL OF FINANCIAL STUDIES

【影响因子】0.000

【Abstract】This study sets out to explore the impacts of the Russian-Ukrainian conflict on worldwide financial markets by considering a large array of national currencies, precious metals and fuel, agricultural commodities and cryptocurrencies. Estimations span the period since the Russian invasion until the takeover of the Ukrainian city of Mariupol. Optimal portfolios are constructed for separate categories of financial assets for different levels of risk-aversion by investors. The Chinese yuan, gold, corn, soybeans, sugar and Bitcoin prove to be safe haven investments while the Japanese yen, natural gas, wheat and the combination of Bitcoin and Ethereum offer profit opportunities for risk-seekers. Notably, the agricultural commodities' portfolio is the best performing while the cryptocurrency portfolio generates the worst risk-return trade-off. National currencies could act as safe havens in the place of gold when all types of assets can be combined. Natural gas is revealed to be the most reliable profit generator. Overall, high risk appetite does not result in large improvement in portfolios' returns. This study sheds light on investors' optimal decision-making during elevated geopolitical uncertainties and provides a compass for improving welfare.

【Keywords】optimal portfolio; national currencies; commodities; cryptocurrencies; risk appetite; Russian-Ukrainian conflict

【发表时间】2022 SEP

【收录时间】2022-10-05

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币