Agric. Econ. - Czech, X:X | DOI: 10.17221/377/2025-AGRICECON

Optimising the Stutzer ratio in multivariate agricultural portfoliosOriginal Paper

Dejan Živkov¹, Boris Kuzman¹, Jonel Subić¹

¹ Institute of Agricultural Economics, Belgrade, Serbia

This paper evaluates the risk-adjusted performance of multivariate agricultural portfolios using the Stutzer ratio, an advanced measure that accounts for non-normal return distributions and downside risk. Three four-asset portfolios – grains, softs, and meats – are analysed in this study. The Stutzer ratio incorporates a risk-aversion parameter (θ) that penalises tail risk, providing a more accurate assessment of skewed and fat-tailed returns. Results show that Stutzer-optimised portfolios outperform naïve equal-weight portfolios in risk-adjusted terms, as optimisation effectively balances expected returns and downside exposure. Among the three portfolio categories, the softs portfolio exhibits the highest Stutzer ratio, with the meats portfolio following closely behind. Both portfolios have a relatively high tail-adjustment parameter (theta), indicating a reduced exposure to downside risk and a lower likelihood of extreme negative returns. Consequently, their risk-adjusted performance suggests greater return stability, making them particularly attractive to long-term investors.

Keywords: downside risk; exponential decay factor; risk-adjusted metric

Received: September 12, 2025; Revised: March 1, 2026; Accepted: March 10, 2026; Prepublished online: August 10, 2026