投资组合风险和能源和非能源股票之间的回报
Neeraj Nautiyal1, Abdel Razzaq Alrababa'a2, Mobeen Ur Rehman3,4
1Faculty of Business, Sohar University, Oman.
Heliyon
|May 28, 2024
概括
本研究探讨了使用能源和传统股票的最佳投资组合构建. 同等权重的投资组合通常提供最佳的风险调整回报,在COVID-19危机期间优先选择传统股票.
科学领域:
- 金融 金融 金融 金融 金融
- 投资管理 投资管理
- 风险分析 风险分析
背景情况:
- 多元化策略对于优化投资组合至关重要.
- 了解能源和传统股票之间的相互作用对于投资组合表现至关重要.
- 全球金融市场呈现出复杂的风险回报动态.
研究的目的:
- 调查不同比例的能源和传统股票对投资组合回报的影响.
- 分析不同国家和时间框架的混合投资组合的风险和回报特征.
- 为了确定最佳的组合组合组合不同的市场条件和投资视野.
主要方法:
- 利用了从1999年7月到2021年7月的20个国家的每日库存数据.
- 使用多尺度的夏普比率和风险价值 (VaR) 来评估投资组合绩效.
- 检查了能源和非能源 (传统) 股票之间的不同配置的投资组合.
主要成果:
- 一个同等权重的投资组合在正常和危机时期表现出最佳的回报.
- 在COVID-19大流行期间,更高比例的传统股票是可取的.
- 风险估计支持同等权重的投资组合,尽管风险随持有期而波动.
结论:
- 投资策略应考虑能源和传统储备之间的动态分配.
- 最佳的投资组合组成取决于市场状况,特别是在COVID-19等危机期间.
- 调查结果为全球股票市场的短期和长期投资决策提供了实际见解.
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