Improving portfolio performance of renewable energy stocks using robust portfolio approach: Evidence from China-Reference-Cited by-同舟云学术

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Improving portfolio performance of renewable energy stocks using robust portfolio approach: Evidence from China

Published:2019-11 Issue: Volume:533 Page:122059
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Bai Lan,Liu Yuntong,Wang Qian,Chen Chen

Funder

the National Natural Science Foundation of China

Projects for key laboratory of service computing and safety management of Yunnan provincial universities, China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference44 articles.

1. Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market;Kilian;Amer. Econ. Rev.,2009

2. Diversifying portfolios of U.S. stocks with crude oil and natural gas: a regime-dependent optimization with several risk measures;Gatfaoui;Energy Econ.,2019

3. Forecasting VaR and ES of stock index portfolio: A Vine copula method;Zhang;Physica A,2014

4. Optimal portfolio strategy with cross-correlation matrix composed by DCCA coefficients: evidence from the Chinese stock market;Sun;Physica A,2016

5. Understanding the multifractality in portfolio excess returns;Chen;Physica A,2017

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