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dc.contributor.authorUddin, Gazi Salah
dc.contributor.authorSahamkhadam, Maziar
dc.contributor.authorYahya, Muhammad
dc.contributor.authorTang, Ou
dc.identifier.citationInternational Journal of Finance and Economics. 2022, .en_US
dc.description.abstractWe 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 het erogeneity 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.en_US
dc.rightsNavngivelse 4.0 Internasjonal*
dc.subjectenergy sectoren_US
dc.subjectoil and gas firmsen_US
dc.subjectportfolio optimizationen_US
dc.subjecttail dependenceen_US
dc.subjectvine copulasen_US
dc.titleInvestment opportunities in the energy market: What can be learnt from different energy sectorsen_US
dc.typePeer revieweden_US
dc.typeJournal articleen_US
dc.subject.nsiVDP::Samfunnsvitenskap: 200en_US
dc.source.journalInternational Journal of Finance and Economicsen_US

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Navngivelse 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Navngivelse 4.0 Internasjonal