o:29620 Oil hedging with a multivariate semiparametric value-at-risk portfolio en Abstract: This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of Southeast Asian Nations) stock indexes and five more developed non-ASEAN indexes. The preliminary dynamic equicorrelation estimates indicate that the ASEAN stock indexes are less integrated and thus potentially better for diversification purposes. The portfolio results show that the ASEAN indexes are better hedges for oil in terms of minimum variance and minimum VaR. However, although the ASEAN indexes have higher extreme risk, we find that a portfolio with these indexes has slightly lower modified VaR than a portfolio with the non-ASEAN indexes. The reason is probably the higher variance and higher equicorrelation of the non-ASEAN indexes, because these inputs affect the value of the modified downside risk of a portfolio. As a complementary analysis, we put a 50 percent constraint on Brent in the portfolios, and then the portfolios with the non-ASEAN indexes have better risk-minimizing results. Keywords: Asian stock indexes, Brent oil, DECO-DCC model; Portfolio optimization 1552099 10.1016/j.bir.2022.08.004 1552101 2214-8450 2023-05-18T16:01:32.873Z 44 no 46 Dejan Živkov Slavica Manić Univerzitet u Beogradu Ekonomski fakultet person 12719207 0000-0003-2730-3215 Jasmina Đurašković person Marina Gajić Glamočlija person application/pdf 924424 https://phaidrabg.bg.ac.rs/o:29620 no yes 18 70 1552253 11A03 Borsa Istanbul Review 22 6 1118 1131 2022