Does green improve portfolio optimisation?

被引：33
作者：
Akhtaruzzaman, Md [1 ,7 ]
Banerjee, Ameet Kumar [2 ]
Boubaker, Sabri [3 ,4 ,5 ]
Moussa, Faten [6 ]
机构：
[1] Australian Catholic Univ, Peter Faber Business Sch, Sydney, Australia
[2] XLRI Xavier Sch Management, Jamshedpur, India
[3] EM Normandie Business Sch, Metis Lab, Le Havre, France
[4] Vietnam Natl Univ, Int Sch, Hanoi, Vietnam
[5] Swansea Univ, Swansea, Wales
[6] South Mediterranean Univ, Mediterranean Sch Business, Tunis, Tunisia
[7] Peter Faber Business Sch, 532-06-15 Tenison Woods House,8-20 Napier St, Sydney, Australia
来源：
ENERGY ECONOMICS | 2023年 / 124卷
关键词：
Green finance; Greenness; Social development goals (SDGs); Green asset; CVaR; VaR; Portfolio optimisation; VALUE-AT-RISK; EXTREME-VALUE THEORY; EXPECTED SHORTFALL; MEAN-VARIANCE; CVAR; MANAGEMENT; SELECTION; DIVERSIFICATION; COPULAS; MODELS;
D O I：
10.1016/j.eneco.2023.106831
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Our study uses the GARCH-EVT-copula model to develop out-of-sample forecasts for diverse asset classes, including a green asset. To construct optimal portfolios, we apply four different portfolio allocation techniques: equal weighting, minimum variance, global minimum variance (GMV), and certainty equivalence tangency (CET) criteria. The results demonstrate that the GMV portfolio outperforms other portfolios in risk measures. Further, backtesting evidence shows that the portfolio containing a green asset performs better than the benchmark for short horizons. The results have implications for fund managers and policymakers since green asset provides valuable diversification benefits and further the cause of sustainable development.
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页数：10
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