Investment opportunities in the energy market: What can be learnt from different energy sectors
利用多元copula模型预测四大能源部门（油气、油气设备服务、多线公用事业、可再生能源）的资产收益，结合四种风险度量构建投资组合，发现多线公用事业和可再生能源在最优组合中占比更高，为发展可再生能源提供金融视角的指导。
Abstract We 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 heterogeneity 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.