Does green improve portfolio optimisation?
Journal article
Akhtaruzzaman, Md, Banerjee, Ameet Kumar, Boubaker, Sabri and Moussa, Faten. (2023). Does green improve portfolio optimisation? Energy Economics. 124, pp. 1-10. https://doi.org/10.1016/j.eneco.2023.106831
Authors | Akhtaruzzaman, Md, Banerjee, Ameet Kumar, Boubaker, Sabri and Moussa, Faten |
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Abstract | 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. |
Keywords | green finance; greenness; social development goals (SDGs); green asset; CVaR; VaR; portfolio optimisation |
Year | 01 Jan 2023 |
Journal | Energy Economics |
Journal citation | 124, pp. 1-10 |
Publisher | Elsevier Science BV |
ISSN | 0140-9883 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.eneco.2023.106831 |
Web address (URL) | https://www.sciencedirect.com/science/article/pii/S0140988323003298?via%3Dihub |
Open access | Published as ‘gold’ (paid) open access |
Research or scholarly | Research |
Page range | 1-10 |
Publisher's version | License File Access Level Open |
Output status | Published |
Publication dates | |
Online | 04 Jul 2023 |
Publication process dates | |
Accepted | 20 Jun 2023 |
Deposited | 06 Jun 2024 |
Additional information | © 2023 The Authors. Published by Elsevier B.V. |
This is an open access article under the CC BY-NC-ND license | |
Supplementary data files available as Appendix B via the article web address | |
Place of publication | Netherlands |
https://acuresearchbank.acu.edu.au/item/90998/does-green-improve-portfolio-optimisation
Download files
Publisher's version
OA_Akhtaruzzaman_2023_Does_green_improve_portfolio_optimisation.pdf | |
License: CC BY-NC-ND 4.0 | |
File access level: Open |
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