| Issue |
E3S Web Conf.
Volume 275, 2021
2021 International Conference on Economic Innovation and Low-carbon Development (EILCD 2021)
|
|
|---|---|---|
| Article Number | 01001 | |
| Number of page(s) | 4 | |
| Section | Energy Application and Ecological Resource Sustainability | |
| DOI | https://doi.org/10.1051/e3sconf/202127501001 | |
| Published online | 21 June 2021 | |
Portfolio Construction of Energy-Related Assets
1
University of Waterloo, Waterloo, ON, Canada
2
University of Toronto, Toronto, Ontario, Canada
3
Columbia College Chicago, Illinois, US
*a Corresponding author: y262feng@uwaterloo.ca
b kate.li@mail.utoronto.ca
c ywang4@colum.edu
† These authors contributed equally.
Portfolio construction is one of the most fatal issues of modern finance, which can effectively gain returns or reduce risks. This study constructs portfolios in energy-related assets. Specifically, the Monte Carlo simulations are carried out for a hundred thousand times in order to discover the efficient frontier and find the minimum variance and the maximum sharp ratio portfolio. According to the simulations, the American Electric Power possesses the largest share in minimum variance portfolio, while NextEra Energy for sharp ratio method. The results may benefit certain investor in financial markets and shed lights to focus more on portfolio allocation during constructing.
© The Authors, published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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