dc.contributor.author |
Bouri, Elie
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Wong, Wing-Keung
|
|
dc.contributor.author |
Zhu, Zhenzhen
|
|
dc.date.accessioned |
2019-01-30T11:57:33Z |
|
dc.date.issued |
2018-10 |
|
dc.description.abstract |
We extend our understanding on the role of wine investment within a portfolio of different assets (US/UK equities, bonds, gold, and housing) by considering a rich methodology based, among others, on the mean-variance and stochastic-dominance approaches. The main findings suggest that wine is the best investment among all individual assets under study, and investors prefer to invest in with-wine portfolios than without-wine portfolios to gain higher expected utility when short selling is not allowed. However, investors are indifferent between portfolios with and without wine when short-selling is allowed. In addition, with-wine portfolios generally either dominate individual assets or investors are indifferent in choosing between individual assets. Interestingly, the with-wine portfolios first-order stochastically dominate housing in both the long-only and short-allowed strategies, pointing towards market inefficiency. Finally, we reveal that investors prefer the low-risk with-wine portfolios to the equal-weighted portfolios but are indifferent between the high-risk with-wine portfolios and the naïve portfolios for both long-only and short-allowed strategies. Our findings can be used by investors in their investment processes, and reveal the possibility of earning abnormal returns when wine is included in the investment. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2019-10-01 |
|
dc.description.librarian |
hj2019 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/pacfin |
en_ZA |
dc.identifier.citation |
Bouri, E., Gupta, R., Wong, W.K. et al. 2018, 'Is wine a good choice for investment?', Pacific-Basin Finance Journal, vol. 51, pp. 171-183. |
en_ZA |
dc.identifier.issn |
0927-538X (print) |
|
dc.identifier.issn |
1879-0585 (online) |
|
dc.identifier.other |
10.1016/j.pacfin.2018.07.002 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/68315 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2018 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Pacific-Basin Finance Journal. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Pacific-Basin Finance Journal, vol. , no. , pp. , 2018. doi : . [12 months embargo] |
en_ZA |
dc.subject |
Wine investment |
en_ZA |
dc.subject |
Mean-variance portfolio optimization |
en_ZA |
dc.subject |
Mean-risk criterion |
en_ZA |
dc.subject |
Stochastic dominance |
en_ZA |
dc.subject |
Asset classes |
en_ZA |
dc.title |
Is wine a good choice for investment? |
en_ZA |
dc.type |
Postprint Article |
en_ZA |