Document Type

Journal Article

Publication Title

Applied Economics

Publisher

Taylor and Francis

School

School of Business and Law

RAS ID

28867

Comments

This is an Accepted Manuscript of an article published by Taylor & Francis as: Powell, R., Vo, D. H., & Pham, T. N. (2019). Cattle as a consistently resilient agricultural commodity. Applied Economics, 51(55), 5911-5922. Original publication available here

Abstract

This study compares a range of agricultural commodities over periods of varying economic circumstances. These commodities are examined over three categories, including returns, risk, and contribution to portfolio optimisation. Consistency in these categories is determined over four equal three-year stages which comprise pre-GFC (Global Financial Crisis), GFC, post-GFC and post-post GFC. To demonstrate resilience in the most extreme circumstances, the study uses Conditional Value at Risk (CVaR), which measures extreme risk in the tail of a distribution, as the risk measure and risk-return optimiser. The study thus provides a unique and comprehensive extreme-risk based focus which identifies and ranks the consistency of performance of agricultural commodities over a range of criteria and conditions. Cattle commodities consistently demonstrate the strongest overall performance in the categories examined.

DOI

10.1080/00036846.2019.1631441

Available for download on Friday, December 18, 2020

Included in

Business Commons

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