Using non-parametric estimates with imposing inequality restrictions, we study returns and risks of green and brown portfolios constructed from fossil fuel and clean energy ETFs. The green portfolios do not unconditionally outperform brown ones, but the outperformance of green portfolios is...

Using non-parametric estimates with imposing inequality restrictions, we compare unconditional to conditional estimators for “green” and “brown” ETFs, namely fossil fuel, and clean energy. Specifically, while unconditional tests could not indicate that the “green” outperforms the...

Using a unique dataset of daily returns of 89 programmes of Commodity Trading Advisors (CTA), we investigate the distributional properties of CTA strategies including trend following, fundamental and contrarian strategies. We find that daily data exhibits strong features of fat-tail, volatility...

During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model the financial market as an interaction of two...

During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model the financial market as an interaction of two...