| 1. |
- Lööf, Hans, 1961-, et al.
(författare)
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Incorporating ESG into Optimal Stock Portfolios for the Global Timber & Forestry Industry
- 2023
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Ingår i: Journal of Forest Economics. - : Now Publishers Inc.. - 1104-6899 .- 1618-1530. ; 38:2, s. 133-157
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates how optimal portfolios of timber & forestry stocks perform relative to the global S&P timber & forestry index when corporate social responsibility (CSR) is considered. We incorporate CSR in the construction of optimal portfolios by utilizing combined environmental, social, and governance (ESG) scores. Historical as well as copula-augmented predictive models and ESG-constrained optimization are used to analyze out-of-sample performance of various portfolio strategies over the period 2018–2021. The results of copula-based portfolio strategies are better than of the historical models. Another insight gained by this study is that socially responsible investments in forestry stocks are feasible without sacrificing risk-adjusted returns.
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| 2. |
- Sahamkhadam, Maziar, et al.
(författare)
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Portfolio optimization based on forecasting models using vine copulas : An empirical assessment for global financial crises
- 2023
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Ingår i: Journal of Forecasting. - : John Wiley & Sons. - 0277-6693 .- 1099-131X. ; 42:8, s. 2139-2166
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Tidskriftsartikel (refereegranskat)abstract
- We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns from 2001 to 2022, a period that includes the 2008 financial crisis, the 2011 European sovereign debt crisis, the 2020 COVID-19 pandemic crisis, and the 2022 Russian invasion of Ukraine with the resulting energy crisis. We analyze the asset allocations performed and test different portfolio strategies, such as maximum Sharpe ratio, minimum variance, and minimum conditional value at risk. Using international financial market indices, we specify the regular, drawable, and canonical vine copulas, such as the Gaussian, Student's t, Clayton, Frank, Joe, Gumbel, and mixed copulas, and analyze both in-sample and out-of-sample portfolio performances. Out-of-sample portfolio back-testing shows that vine copulas reduce portfolio risk better than the benchmark portfolio strategies and also better than simple multivariate copulas. Overall, we find that mixed vine copula models perform best with regard to risk reduction, both for the entire period 2001–2022 and during financial crisis periods. Thus, a mixture of symmetric and asymmetric copula families works best in terms of portfolio risk reduction irrespective of the chosen optimization approach.
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| 3. |
- Uddin, Gazi Salah, 1979-, et al.
(författare)
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Investment opportunities in the energy market : What can be learnt from different energy sectors
- 2023
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Ingår i: International journal of finance and economics. - : John Wiley & Sons. - 1076-9307 .- 1099-1158. ; 28:4, s. 3611-3636
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Tidskriftsartikel (refereegranskat)abstract
- We construct portfolio strategies consisting of different stocks from four main energy market sectors, including oil and gas, oil and gas related equipment and services, multiline utilities and renewable energy. To construct portfolio strategies, we first forecast assets' returns by using multivariate copula models. These forecasting frameworks enable us to undertake both symmetric and asymmetric tail connectedness in simulating from the joint distribution. Second, we applied four major risk measures including volatility, mean absolute deviation, conditional value-at-risk and conditional drawdown-at-Risk. Our findings indicate that the consideration of homogeneity of oil and gas sector and oil and gas related equipment and services sector, together with the heterogeneity of multiline utilities sector and renewable energy sector should lead to information decoupling among these sectors, thereby providing portfolio diversification. The mixed copula model results in better out-of-sample economic performance, indicating the advantage obtained from modelling both symmetric and asymmetric tail dependence. Our analysis of the portfolio weights, among the energy market sectors, shows that for optimal portfolios, multiline utilities and renewable energy sectors constitute higher portion of the invested assets. The study results provide an encouraging guideline for developing renewable energy sector from the perspective of financial market.
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