Risk Management Opportunities between Socially Responsible Investments and Selected Commodities

Daniel Cupriak , Katarzyna Kuziak , Tomasz Popczyk


Socially responsible investing (SRI) or sustainable, responsible, and impact investing is growing fast. The net total of SRI assets at the beginning of 2018 was USD 12.0 trillion. There is extensive literature on SRI, but very little of it relates to portfolio construction and risk management combining SRI and commodities. In this paper, the authors pay attention to model volatility and dynamic conditional correlations between SRI investment and selected representative of commodities. We state the following hypothesis: the potential to create portfolio and risk management opportunities exists between SRI and commodities such as grain, precious metals, and industrial metals. To verify this, modeling of volatility and dynamic conditional correlation (DCC) between pair of elements is necessary. Empirical research conducted for the global market based on selected indices for SRI and commodities confirms this hypothesis. These results can improve asset selection in portfolio construction and allow investors to make more reasonable decisions.
Author Daniel Cupriak (WUEB)
Daniel Cupriak,,
- Wroclaw University of Economics and Business
, Katarzyna Kuziak (E&F / DoFIaRM)
Katarzyna Kuziak,,
- Department of Financial Investments and Risk Management
, Tomasz Popczyk (WUEB)
Tomasz Popczyk,,
- Wroclaw University of Economics and Business
Journal seriesSustainability, ISSN 2071-1050, (N/A 70 pkt)
Issue year2020
Publication size in sheets0.95
Article number2003
Keywords in Englishsocially responsible investing (SRI), sustainable; responsible and impact (SRI) investing; DCC; GARCH; risk diversification
ASJC Classification3305 Geography, Planning and Development; 2105 Renewable Energy, Sustainability and the Environment; 2308 Management, Monitoring, Policy and Law
Languageen angielski
Cupriak_D_Kuziak_K_Popczyk_T_Risk_Management_Opportunities.pdf 758,4 KB
Score (nominal)70
Score sourcejournalList
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2016 = 0.911; WoS Impact Factor: 2018 = 2.592 (2) - 2018=2.801 (5)
Citation count*
Additional fields
UwagaThe project is financed by the Ministry of Science and Higher Education in Poland under the programme “Regional Initiative of Excellence” 2019–2022 project number 015/RID/2018/19 total funding amount 10 721 040,00 PLN.
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.