Harnessing Sunshine: A Dynamic Spillover Analysis of the Diversification Effects of China's Photovoltaic Weather Index
研究中国光伏天气指数对商品投资组合的分散化效果，发现该指数与商品系统高度隔离，基于此构建的最小连通性组合显著提升风险调整收益，优于传统最小方差基准。
ABSTRACT This paper investigates the diversification effects of China's new photovoltaic weather index (PVWI) on commodity portfolios. Using a TVP‐VAR spillover analysis, we find the PVWI is highly insulated from the commodity system, acting as a net shock receiver and confirming its diversification potential. We then construct novel “minimum‐connectedness portfolios” (MCoP). Results show that portfolios incorporating the PVWI, particularly the MCoP, significantly enhance risk‐adjusted returns and demonstrably outperform traditional minimum‐variance benchmarks. This study validates the practical benefits of well‐designed weather derivatives and the superiority of spillover‐aware asset allocation frameworks.