The effect of energy cryptos on efficient portfolios of key energy listed companies in the S&P composite 1500 energy index

dc.contributor.author Gurrib, Ikhlaas
dc.contributor.author Elshareif, Elgilani
dc.contributor.author Kamalov, Firuz
dc.date.accessioned 2020-02-10T11:15:36Z
dc.date.available 2020-02-10T11:15:36Z
dc.date.copyright 2020 en_US
dc.date.issued 2020
dc.description Full text of this article is available in CUD LRC electronic resources at: https://search-proquest-com.ezp.cud.ac.ae/scholarly-journals/effect-energy-cryptos-on-efficient-portfolios-key/docview/2459596135/se-2?accountid=33975 en_US
dc.description.abstract This paper investigates if energy block chain based crypto currencies can help diversify equity portfolios consisting primarily of leading energy companies of the US S&P Composite 1500 energy index. Key contributions are in terms of assessing the importance of energy cryptos as alternative investments in portfolio management, and whether different volatility models such as autoregressive moving average – Generalized Autoregressive Heteroskedasticity (ARMA-GARCH) and machine learning (ML) can help investors make better investment decisions. The methodology utilizes the traditional Markowitz mean-variance framework to obtain optimized portfolio combinations. Volatility measures, derived from the Cornish-Fisher adjusted variance, ARMA family classes and ML models are used to compare efficient portfolios. The study also analyses the effect of adding cryptos to equity portfolios with non-positive excess returns. Different models are assessed using the Sharpe performance measure. Daily data is used, spanning from November 21, 2017 to January 31, 2019. Findings suggest that energy based cryptos do not have a significant impact on energy equity portfolios, despite the use of different risk measures. This is attributable to the relatively poor performance of energy cryptos which did not contribute in improving the excess return per unit of risk of efficient portfolios based on the leading US energy stocks. © 2020, Econjournals. All rights reserved. en_US
dc.identifier.citation Gurrib, I., Elsharief, E., & Kamalov, F. (2020). The effect of energy cryptos on efficient portfolios of key energy listed companies in the S&P composite 1500 energy index. International Journal of Energy Economics and Policy, 10(2), 179–193. https://doi.org/10.32479/ijeep.8676 en_US
dc.identifier.issn 21464553
dc.identifier.uri https://search-proquest-com.ezp.cud.ac.ae/scholarly-journals/effect-energy-cryptos-on-efficient-portfolios-key/docview/2459596135/se-2?accountid=33975
dc.identifier.uri http://hdl.handle.net/20.500.12519/132
dc.language.iso en en_US
dc.publisher Econjournals en_US
dc.relation Authors Affiliations: Gurrib, I., Canadian University Dubai, School of Graduate Studies, Sheikh Zayed Road, Dubai, United Arab Emirates; Elsharief, E., Canadian University Dubai, School of Graduate Studies, Sheikh Zayed Road, Dubai, United Arab Emirates; Kamalov, F., Canadian University Dubai, Faculty of Engineering and Architecture, Sheikh Zayed Road, Dubai, United Arab Emirates
dc.relation.ispartofseries International Journal of Energy Economics and Policy;Vol. 10, no. 2
dc.rights Permission to reuse abstract has been secured from Econjournals.
dc.rights.holder Copyright : 2020 Econjournals. All rights reserved.
dc.subject Energy cryptos en_US
dc.subject Equity portfolios en_US
dc.subject Machine learning en_US
dc.subject Performance evaluation en_US
dc.subject Volatility measure en_US
dc.title The effect of energy cryptos on efficient portfolios of key energy listed companies in the S&P composite 1500 energy index en_US
dc.type Article en_US
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