This paper provides insights into agricultural commodity markets in terms of return and volatility spillover effects … risk in spot return’s volatility and spot returns itself, respectively. During the study the VAR(1)-GARCH-ABEKK(1,1)-in … of return and volatility linkages between agricultural commodities. Based on the model results optimal dynamic portfolio …

crashes. The latest risk management strategy is called the target volatility strategy. The target volatility strategy is used … in order to maintain a stable realized volatility of a portfolio. The strategy re-balances the allocation of risky asset … analysis of the target volatility portfolios and financial derivatives linked to target volatility portfolios. We demonstrate …