Does Green Improve Portfolio Optimisation?
Résumé
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. \textcopyright 2023 The Authors
Mots clés
benchmarking
CVaR
energy market
environmental economics
financial market
Global minimum
Global optimization
Green asset
green economy
Green finance
Greenness
Minimum variance
optimization
Portfolio optimisation
Portfolio optimization
Risk assessment
Social development
Social development goal
Social development goals (SDGs)
sustainable development
VaR
Domaines
Gestion et management| Origine | Fichiers éditeurs autorisés sur une archive ouverte |
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