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Optimal Portfolios of National Currencies, Commodities and Fuel, Agricultural Commodities and Cryptocurrencies during the Russian-Ukrainian Conflict

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  • Nikolaos A. Kyriazis

    (Department of Economics, University of Thessaly, 28th October Str. 78, 38333 Volos, Greece)

Abstract

This study sets out to explore the impacts of the Russian-Ukrainian conflict on worldwide financial markets by considering a large array of national currencies, precious metals and fuel, agricultural commodities and cryptocurrencies. Estimations span the period since the Russian invasion until the takeover of the Ukrainian city of Mariupol. Optimal portfolios are constructed for separate categories of financial assets for different levels of risk-aversion by investors. The Chinese yuan, gold, corn, soybeans, sugar and Bitcoin prove to be safe haven investments while the Japanese yen, natural gas, wheat and the combination of Bitcoin and Ethereum offer profit opportunities for risk-seekers. Notably, the agricultural commodities’ portfolio is the best performing while the cryptocurrency portfolio generates the worst risk-return trade-off. National currencies could act as safe havens in the place of gold when all types of assets can be combined. Natural gas is revealed to be the most reliable profit generator. Overall, high risk appetite does not result in large improvement in portfolios’ returns. This study sheds light on investors’ optimal decision-making during elevated geopolitical uncertainties and provides a compass for improving welfare.

Suggested Citation

  • Nikolaos A. Kyriazis, 2022. "Optimal Portfolios of National Currencies, Commodities and Fuel, Agricultural Commodities and Cryptocurrencies during the Russian-Ukrainian Conflict," IJFS, MDPI, vol. 10(3), pages 1-24, September.
    • Handle: RePEc:gam:jijfss:v:10:y:2022:i:3:p:75-:d:904377
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    References listed on IDEAS

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    Cited by:

    1. Hongjun Zeng & Abdullahi D. Ahmed & Ran Lu, 2024. "The Bitcoin‐agricultural commodities nexus: Fresh insight from COVID‐19 and 2022 Russia–Ukraine war," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 68(3), pages 653-677, July.
    2. Almeida, José & Gaio, Cristina & Gonçalves, Tiago Cruz, 2024. "Crypto market relationships with bric countries' uncertainty – A wavelet-based approach," Technological Forecasting and Social Change, Elsevier, vol. 200(C).

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