Multi-objective carbon-energy portfolio optimization under investment horizon heterogeneity

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-07-01 DOI:10.1016/j.ribaf.2025.103036

Jianhao Xue , Xingyu Dai , Ling Xiao , Qunwei Wang , Matthew C. Li

{"title":"Multi-objective carbon-energy portfolio optimization under investment horizon heterogeneity","authors":"Jianhao Xue , Xingyu Dai , Ling Xiao , Qunwei Wang , Matthew C. Li","doi":"10.1016/j.ribaf.2025.103036","DOIUrl":null,"url":null,"abstract":"<div><div>European geopolitical risks and financial systemic risks have led to significant long-term and short-term fluctuations in global carbon and energy markets. This creates challenges for portfolio managers with different investment horizons. This study uses a multivariate variational mode decomposition (MVMD) based Vine-Copula model to perform multi-objective portfolio optimization. There are ten optimization objectives and different measures, including Mean, Variance, Skewness, Kurtosis, VaR, CVaR, and HMCR. This study analyzes carbon, natural gas, oil and coal futures assets data from December 31, 2009 to October 21, 2022, and finds the following. First, portfolios with investment horizons over 20 weeks- and less than 2 weeks-length outperform portfolios with other investment horizons. Second, the optimized Mean-Skewness-CVaR portfolio has the greatest number of optimal timings for portfolio managers at investment horizons over 20 weeks and less than 2 weeks. Portfolio performance does not necessarily improve by including more optimization objectives within portfolio strategies.</div></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":"79 ","pages":"Article 103036"},"PeriodicalIF":6.3000,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Research in International Business and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0275531925002922","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

Abstract

European geopolitical risks and financial systemic risks have led to significant long-term and short-term fluctuations in global carbon and energy markets. This creates challenges for portfolio managers with different investment horizons. This study uses a multivariate variational mode decomposition (MVMD) based Vine-Copula model to perform multi-objective portfolio optimization. There are ten optimization objectives and different measures, including Mean, Variance, Skewness, Kurtosis, VaR, CVaR, and HMCR. This study analyzes carbon, natural gas, oil and coal futures assets data from December 31, 2009 to October 21, 2022, and finds the following. First, portfolios with investment horizons over 20 weeks- and less than 2 weeks-length outperform portfolios with other investment horizons. Second, the optimized Mean-Skewness-CVaR portfolio has the greatest number of optimal timings for portfolio managers at investment horizons over 20 weeks and less than 2 weeks. Portfolio performance does not necessarily improve by including more optimization objectives within portfolio strategies.

查看原文本刊更多论文

投资水平异质性下的多目标碳能源组合优化

欧洲地缘政治风险和金融系统性风险导致全球碳和能源市场长期和短期大幅波动。这给具有不同投资视野的投资组合经理带来了挑战。本文采用基于多变量变分模态分解（MVMD）的Vine-Copula模型进行多目标投资组合优化。有10个优化目标和不同的度量，包括Mean， Variance, Skewness, Kurtosis, VaR， CVaR和HMCR。本研究分析了2009年12月31日至2022年10月21日的碳、天然气、石油和煤炭期货资产数据，发现如下：首先，投资期限超过20周或少于2周的投资组合优于其他投资期限的投资组合。其次，优化后的均值-偏度- cvar组合在投资周期大于20周和小于2周的情况下，投资组合经理的最佳时机数量最多。在投资组合策略中加入更多的优化目标并不一定会提高投资组合的绩效。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance