IDEAS home Printed from https://ideas.repec.org/a/prg/jnlpep/v2025y2025i2id889p137-164.html
   My bibliography  Save this article

Risk-Adjusted Performance of American and European Clean-Energy Portfolios

Author

Listed:
  • Dejan Živkov
  • Boris Kuzman
  • Katica Radosavljević

Abstract

This study constructs two eight-asset green-energy portfolios, featuring stocks from the U.S. and Europe, to assess which portfolio delivers superior risk-adjusted performance. The analysis utilizes advanced performance metrics, the Stutzer and Omega ratios, with the traditional Sharpe ratio serving as a benchmark. Portfolios are evaluated across both pre-crisis and crisis periods. The results reveal differences in the structures of the Sharpe and Stutzer portfolios, underscoring the Stutzer ratio's ability to improve portfolio performance. Additionally, the Omega portfolio enhances the analysis by allowing the selection of varying thresholds, offering greater adaptability to align with diverse investor preferences. When comparing the U.S. and European portfolios, the U.S. portfolio consistently demonstrates better risk-adjusted performance. This advantage stems from factors such as favorable market dynamics, supportive government policies, greater access to capital, advanced technological innovation, and effective corporate strategies.

Suggested Citation

  • Dejan Živkov & Boris Kuzman & Katica Radosavljević, 2025. "Risk-Adjusted Performance of American and European Clean-Energy Portfolios," Prague Economic Papers, Prague University of Economics and Business, vol. 2025(2), pages 137-164.
    • Handle: RePEc:prg:jnlpep:v:2025:y:2025:i:2:id:889:p:137-164
    DOI: 10.18267/j.pep.889
    as

    Download full text from publisher

    File URL: http://pep.vse.cz/doi/10.18267/j.pep.889.html
    Download Restriction: free of charge
    File URL: http://pep.vse.cz/doi/10.18267/j.pep.889.pdf
    Download Restriction: free of charge
    File URL: https://libkey.io/10.18267/j.pep.889?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    green-energy portfolios; sophisticated performance metrics;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • P28 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - Natural Resources; Environment

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prg:jnlpep:v:2025:y:2025:i:2:id:889:p:137-164. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Stanislav Vojir (email available below). General contact details of provider: https://edirc.repec.org/data/uevsecz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.