Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?
Year of publication: |
2022
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Authors: | Abraham, Rebecca ; El-Chaarani, Hani ; Tao, Zhi |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 15.2022, 2, Art.-No. 80, p. 1-31
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Subject: | green equities | Capital Asset Pricing Model | Fama-French Three-Factor Model | Fama-French Five-Factor Model | Value-at-Risk | Expected Shortfall | CAPM | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Schätzung | Estimation | Volatilität | Volatility | Theorie | Theory | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Kapitalmarktrendite | Capital market returns |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm15020080 [DOI] hdl:10419/258803 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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