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International Journal of Industrial Engineering and Productional Research-، جلد ۳۱، شماره ۴، صفحات ۵۷۹-۵۸۶
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عنوان انگلیسی Complex Risk Analysis of Investing in Agriculture ETFs
چکیده انگلیسی مقاله 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
کلیدواژه‌های انگلیسی مقاله Exchange Trade Funds, portfolio management,agriculture, investment, risk measurement.
نویسندگان مقاله | Kaminskyi Andrii
Economic Cybernetics, Taras Shevchenko National University of Kyiv, Ukraine


| Nehrey Maryna
Economic Cybernetics, National University of Life and Environmental Sciences of Ukraine, Ukraine


| Komar Mariana
Economic Cybernetics, Ivan Franko National University of Lviv, Ukraine
نشانی اینترنتی http://ijiepr.iust.ac.ir/browse.php?a_code=A-10-1777-1&slc_lang=fa&sid=1
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