Sustainable and responsible investment dynamic cross-asset portfolio

Robiyanto Robiyanto, Andrian Dolfriandra Huruta, Budi Frensidy and Ashalia Fitri Yuliana

Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in the study were the daily return of each instrument from January 2019 to December 2021, which was then analyzed using the DCC-GARCH analysis technique. The results show that adding Ripple, gold and bonds into a portfolio consisting of Sri-Kehati stocks can reduce the investment risk. The findings imply that investment managers and investors who have portfolios consisting of eco-friendly stocks such as Sri-Kehati stocks and bonds may reduce investment risk and balance their portfolios by adding gold or cryptocurrencies separately.

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Year of publication:	2023
Authors:	Robiyanto, Robiyanto ; Huruta, Andrian Dolfriandra ; Frensidy, Budi ; Yuliana, Ashalia Fitri
Published in:	Cogent business & management. - London : Taylor & Francis, ISSN 2331-1975, ZDB-ID 2837523-3. - Vol. 10.2023, 1, Art.-No. 2174478, p. 1-14
Subject:	DCC-GARCH \| dynamics portfolio \| hedging effectiveness \| optimal hedge ratio \| Hedging \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Nachhaltige Kapitalanlage \| Sustainable investment \| Institutioneller Investor \| Institutional investor

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/23311975.2023.2174478 [DOI] hdl:10419/294272 [Handle]
Classification:	G15 - International Financial Markets ; G11 - Portfolio Choice ; Q59 - Environmental Economics. Other
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014466665