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

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dc.contributor.authorGurrib, Ikhlaas
dc.contributor.authorElshareif, Elgilani
dc.contributor.authorKamalov, Firuz
dc.date.accessioned2020-02-10T11:15:36Z
dc.date.available2020-02-10T11:15:36Z
dc.date.copyright2020en_US
dc.date.issued2020
dc.descriptionFull 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=33975en_US
dc.description.abstractThis 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.citationGurrib, 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.8676en_US
dc.identifier.issn21464553
dc.identifier.urihttps://search-proquest-com.ezp.cud.ac.ae/scholarly-journals/effect-energy-cryptos-on-efficient-portfolios-key/docview/2459596135/se-2?accountid=33975
dc.identifier.urihttp://hdl.handle.net/20.500.12519/132
dc.language.isoenen_US
dc.publisherEconjournalsen_US
dc.relationAuthors 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.ispartofseriesInternational Journal of Energy Economics and Policy;Vol. 10, no. 2
dc.rightsPermission to reuse abstract has been secured from Econjournals.
dc.rights.holderCopyright : 2020 Econjournals. All rights reserved.
dc.subjectEnergy cryptosen_US
dc.subjectEquity portfoliosen_US
dc.subjectMachine learningen_US
dc.subjectPerformance evaluationen_US
dc.subjectVolatility measureen_US
dc.titleThe effect of energy cryptos on efficient portfolios of key energy listed companies in the S&P composite 1500 energy indexen_US
dc.typeArticleen_US

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