Macroeconomics

Marketing

Copula (linguistics)

Volatility (finance)

Actuarial science

Project portfolio management

Portfolio

Archaeology

Economics

Business

Diversification (marketing strategy)

Asset allocation

Management

Geography

Econometrics

Project management

Risk management

Financial economics

Bond

Finance

Autoregressive conditional heteroskedasticity

Financial crisis

Treasury

Economic Analysis and Policy

This paper examines the diversification role of socially responsible investments (SRI) during the COVID-19 pandemic. To assess the contribution to risk diversification and improved financial performance of SRI we analyze the effect of including clean energy equities in portfolios of conventional equities and other assets commonly considered as safe havens. We construct minimum variance portfolios for different rebalancing frequencies and by considering or restricting short positions. Two approaches are applied: AR-GARCH models to fit the marginal distributions of individual assets and DCC skew Student copula specifications to model the conditional dependencies among pairs via the Kendall's tau correlation measure. We provide evidence of the important role that SRI have played in diversifying and improving the financial performance of portfolios based on different securities such as traditional equities, Treasury bonds, gold, crude oil and Bitcoin.

The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis