Impacto de la inclusión de commodities en un portafolio para el Mila y Brasil

Abstract

The process of globalization that has occurred in the last 30 years has offered a variety of investment alternatives for the various actors participating in the financial market. Each investor adapts these alternatives to their risk profile, trying to find the most efficient point from a mean-variance perspective. Traditionally, sovereign bonds are sought, accompanied by investments with a higher risk component such as stocks. Commodities become an alternative to generate a wider portfolio diversification than the traditional one. Gao and Nardi (2008) suggest that these assets possess “qualities that allow for high returns, risk diversification, and protection against inflation" (p. 366). Taking the above into consideration, this work aims to measure the impact of the inclusion of commodities in a portfolio of stock market indices, stocks, and fix income for the members countries of the Latin American Integrated Market -MILA- and Brazil, in a period ranging from January 1, 2013, to December 31, 2022. The result is the design of a portfolio with the best assets under the mean-variance optimization model developed by Harry Markowitz.