Looking Beyond Wine Risk-Adjusted Performance
CARDEBAT, Jean Marie
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
CARDEBAT, Jean Marie
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
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Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
Language
EN
Article de revue
This item was published in
Journal of Wine Economics. 2020-05, vol. 15, n° 2, p. 229-259
English Abstract
In this paper, we use copula-GARCH models applied to daily data from March 2010 to March 2018 to test the time-varying dependence of the Liv-ex 50, a secondary market fine wine index comprised of the ten most recent vintages ...Read more >
In this paper, we use copula-GARCH models applied to daily data from March 2010 to March 2018 to test the time-varying dependence of the Liv-ex 50, a secondary market fine wine index comprised of the ten most recent vintages of the five Bordeaux First Growths, with a portfolio composed of the six main stock markets (S&P 500, CAC 40, DAX 30, FTSE 100, and Hang Seng). Our results suggest that the Liv-ex 50 underperforms the six stock indexes, but provides diversification benefits in terms of volatility, asymmetry, and extreme events.Read less <
Keywords
portfolio management
wine
English Keywords
alternative assets
copulas