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Abstract：
This paper aims to examine the potential for portfolio returns by adding together conventional and energy stocks with varying proportions. We examine the risk and return characteristics of a portfolio comprising energy and non-energy stocks from twenty countries. The period for daily data ranges from 2nd July 1999 to 2nd July 2021. We use multiscale Sharpe and VaR ratios to examine the risk and returns behaviour of a portfolio with varying composition between energy and non-energy stocks across different investment periods. Our results highlight optimal returns for the equally weighted portfolio during normal and crisis periods except COVID-19 during which more proportion of conventional stocks is preferred. Risk estimates advocate an equally weighted portfolio for all periods however risk varies with the holding period. These results carry useful investment implications during short- and long-run holdings of conventional and energy stocks in a portfolio.
摘要：
本文旨在通过将不同比例的常规股票和能源股票加在一起来研究投资组合回报的潜力。我们研究了由来自20个国家的能源和非能源股票组成的投资组合的风险和收益特征。每日数据的时间范围为1999年7月2日至2021年7月2日。我们使用多尺度夏普和VaR比率来研究投资组合的风险和收益行为，该投资组合在不同的投资时期中能源和非能源股票之间的组成不同。我们的结果突出了在正常和危机时期，同等权重的投资组合的最佳回报，除了COVID-19，在此期间，更多比例的传统股票是首选。风险估计主张在所有时期都采用同等权重的投资组合，但风险随持有期而变化。这些结果在投资组合中短期和长期持有常规和能源股票时具有有用的投资意义。
