جلد 31، شماره 4 - ( 8-1399 )                   جلد 31 شماره 4 صفحات 579-586 | برگشت به فهرست نسخه ها


XML English Abstract Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Andrii K, Maryna N, Mariana K. Complex Risk Analysis of Investing in Agriculture ETFs. IJIEPR. 2020; 31 (4) :579-586
URL: http://ijiepr.iust.ac.ir/article-1-1132-fa.html
Complex Risk Analysis of Investing in Agriculture ETFs. نشریه بین المللی مهندسی صنایع و تحقیقات تولید. 1399; 31 (4) :579-586

URL: http://ijiepr.iust.ac.ir/article-1-1132-fa.html


چکیده:   (172 مشاهده)
The aim of the paper is to present a complex risk analysis of investing in agriculture Exchange Trade Funds (ETFs). The specific characteristics of agricultural investments should be taken into account as from the direct financial investments into agricultural ETFs, as for the general portfolio approach applying. To achieve the objectives of the work, the authors structured agriculture ETFs into 6 classes, which represent different types of ETFs. A special sample of 26 agricultural ETFs was formed. A complex risk analysis consisted of applying 5 different conceptual approaches to measuring investment risk. In particular, approaches based on measuring variability, applying the concept of Value-at-Risk are applied. The approach of estimating the shocks of changes in the profitability of the asset class in question is applied. The risk level in the aspect of sensitivity to changes in stock returns, bonds and the uncertainty index EPU is investigated. Built portfolios with minimal risk. Obtained results can be applied for investment decisions
     
نوع مطالعه: پژوهشي | موضوع مقاله: و موضوعات مربوط
دریافت: 1399/7/18 | پذیرش: 1399/8/30 | انتشار: 1399/8/30

ارسال نظر درباره این مقاله : نام کاربری یا پست الکترونیک شما:
CAPTCHA

کلیه حقوق این وب سایت متعلق به نشریه بین المللی مهندسی صنایع و تحقیقات تولید می باشد.

طراحی و برنامه نویسی : یکتاوب افزار شرق

© 2020 All Rights Reserved | International Journal of Industrial Engineering & Production Research

Designed & Developed by : Yektaweb