Commodity Dependence and Optimal Asset Allocation

38 Pages Posted: 7 Aug 2023 Last revised: 21 Sep 2023

See all articles by Vianney Dequiedt

Vianney Dequiedt

affiliation not provided to SSRN

Mathieu Gomes

Université Clermont Auvergne

Kuntara Pukthuanthong

University of Missouri, Columbia

Benjamin Williams

Université Clermont Auvergne

Date Written: August 8, 2023

Abstract

We present a model to explain the diversification benefits of incorporating commodities into a portfolio of traditional assets from the perspective of domestic investors. Utilizing a sample of 38 countries from 2000 to 2020, we show that investors in high-commodity dependence countries generally do not benefit from adding commodities to their portfolios while investors located in low-commodity dependence countries usually do. Commodities may augment a diversified portfolio if investors are not excessively exposed to commodity risk through their country’s economic structure. Portfolio management research should consider the diversity of local contexts as it can yield different insights into asset allocation.

Keywords: Commodity dependence, Asset allocation, Diversification

Suggested Citation

Dequiedt, Vianney and Gomes, Mathieu and Pukthuanthong, Kuntara and Williams, Benjamin, Commodity Dependence and Optimal Asset Allocation (August 8, 2023). Available at SSRN: https://ssrn.com/abstract=4534370 or http://dx.doi.org/10.2139/ssrn.4534370

Vianney Dequiedt

affiliation not provided to SSRN ( email )

No Address Available

Mathieu Gomes

Université Clermont Auvergne ( email )

Clermont-Ferrand
France

Kuntara Pukthuanthong (Contact Author)

University of Missouri, Columbia ( email )

Robert J. Trulaske, Sr. College of Business
403 Cornell Hall
Columbia, MO 65211
United States
6198076124 (Phone)

HOME PAGE: https://www.kuntara.net/

Benjamin Williams

Université Clermont Auvergne ( email )

Clermont-Ferrand
France

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