Green Investing by Gagari Chakrabarti & Chitrakalpa Sen

Author:Gagari Chakrabarti & Chitrakalpa Sen
Language: eng
Format: epub
Publisher: Springer India, New Delhi

2.5.1.2 Performance of Green, Semi-green, and Gray Portfolios in Scenario II

The movements in the risk-adjusted returns of the constructed portfolios in scenario II are depicted in Fig. 2.12.

Fig. 2.12Movements in portfolio risk-adjusted return—scenario II

The market offers average risk-adjusted returns, while G75 and green portfolios offer highest risk-adjusted returns. Gray returns are comparatively lower. However, the figure is not sufficient to compare the portfolio returns properly. That is why this section replicates the other methods of comparing portfolio performances that have been used in the earlier section to delve into the optimum choice of the risk-averse investor in scenario II.

Table 2.9 shows the results of quantile regression for scenario II to explore whether portfolios could possibly stochastically dominate one another in terms of their risk-adjusted returns.Table 2.9Stochastic dominance for portfolio risk-adjusted return—scenario II

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