Volume 31, Issue 4 (IJIEPR 2020)                   IJIEPR 2020, 31(4): 579-586 | Back to browse issues page

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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-en.html
Complex Risk Analysis of Investing in Agriculture ETFs
Kaminskyi Andrii1 , Nehrey Maryna 2, Komar Mariana3
1- Economic Cybernetics, Taras Shevchenko National University of Kyiv, Ukraine
2- Economic Cybernetics, National University of Life and Environmental Sciences of Ukraine, Ukraine , marina.nehrey@gmail.com
3- Economic Cybernetics, Ivan Franko National University of Lviv, Ukraine
Abstract:   (3375 Views)
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
Keywords: Exchange Trade Funds, portfolio management, agriculture, investment, risk measurement.
Full-Text [PDF 618 kb]   (1508 Downloads)    
Type of Study: Research | Subject: Other Related Subject
Received: 2020/10/9 | Accepted: 2020/11/20 | Published: 2020/11/20
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