Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258855 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 3 [Article No.:] 132 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-20
Publisher: 
MDPI, Basel
Abstract: 
How can investors unlock the returns on the electric vehicle industry? Available investment choices range from individual stocks to exchange traded funds. We select six representative assets and characterize the time-varying joint distribution of their returns by copula-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of risk and reward. With daily data from 2012 to 2020, we illustrate the models' applicability by building a minimum expected shortfall portfolio and comparing its performance to that of an equally weighted benchmark. Our results should be of interest to investors and risk managers seeking or facing exposure to the electric vehicle sector.
Subjects: 
portfolio optimization
electric vehicles
copula
vines
expected shortfall
value-at-risk
JEL: 
G11
G17
C58
Q02
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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