This paper constructs a minimum-variance portfolio of six agricultural futures. We make full sample analysis as well pre-COVID and COVID examination. Using Markowitz optimisation, we find that soybean futures have the highest share (31%) in because it has lowest variance. Both oil rice second weight portfolio, an amount 24%, variance, whereas has, by far, average correlation with other Soybean ...

This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for 12 agricultural commodity futures. For this purpose, we dynamically model equidirectional trading of long and short futures as a proxy market sentiment. We find evidence period considerably positive differ significantly from neutral periods all commodities,...

Purpose. The purpose of the article is to substantiate theoretical and methodological foundations economic feasibility intensifying processes financialization business model Ukrainian grain producers, in particular through formation futures market creation commodity exchange Ukraine. 
 Methodology / approach. In article, it clarified concept as one global trends development that provides d...

E xchange rate is an important factor influencing price indices of exported goods of a country in different ways. Imported intermediate commodity is one of the important ways by which the change in exchange rate affects price indices of the exported goods. Using the input-output table of Iran for the year 2001, this paper investigates the impact of exchange rate devaluation on price ...

We consider mechanisms that provide traders the opportunity to exchange commodity i for commodity j, for certain ordered pairs ij. Given any connected graph G of opportunities, we show that there is a unique mechanism MG that satisfies some natural conditions of “fairness” and “convenience”. Let M(m) denote the class of mechanisms MG obtained by varying G on the commodity set {1, . . . , m}. We...