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Table of Contents
Foreword; Contents; 1 Prologue; Abstract ; References; 2 Greens-The Obvious Choice Over the Grays?; Abstract ; 2.1 The Green Indexes; 2.2 Greens and Grays in the Indian Market; 2.2.1 Construction of Green and Gray Portfolios in Indian Market; 2.2.1.1 Risk and Return on the n-Asset Portfolio; 2.2.1.2 Finding the Global Minimum Variance Portfolio; 2.2.1.3 Portfolio That Gives Maximum Expected Return Subject to Minimum Variance; 2.3 Green and the Gray: A Comparative Approach in Terms of Risk and Return; 2.3.1 Comparison of Own-Risk-Adjusted Return for Portfolios: A Stochastic Dominance Approach.
2.3.2 Comparison of Market Risk of Portfolios: Transmission from Market Return and Market Volatility to Individual Portfolios2.3.2.1 Comparison of Market Risk of Portfolios: How Volatility in Market Return Affects the Volatility of Individual Portfolio Returns; 2.3.2.2 Comparison of Market Risk of Portfolios: A Conditional Correlation and Empirical Survivor Function Approach; 2.4 Are the Green Portfolios Inherently Unstable? A Look into Possible Nonlinearity of Portfolio Returns; 2.4.1 Test for Nonlinearity: BDS Test; 2.4.2 The State Space Reconstruction.
2.4.3 Mutual Information Criterion: Finding T 2.4.4 False Nearest Neighborhood: Decide the Optimal m; 2.4.5 Determinism Test; 2.4.6 Maximum Lyapunov Exponent; 2.5 How Shockproof the Green Portfolios Are: A Survival Analysis; 2.5.1 Potential of the Green Portfolios to Survive Financial Crisis: A Scenario Analysis; 2.5.1.1 Performance of Green, Semi-green, and Gray Portfolios in Scenario I; 2.5.1.2 Performance of Green, Semi-green, and Gray Portfolios in Scenario II; 2.5.2 Potential of the Green Portfolios to Survive Financial Crisis: A Survival Analysis Using Stress Index.
2.6 Factors Affecting Financial Stress: Greens Versus Grays2.7 Are the Greens Obvious Choice Over the Grays? Some Remarks; References; 3 Profits Are Forever: A Green Momentum Strategy Perspective; Abstract ; 3.1 Beating the Market-End of a Myth?; 3.2 Technical Trading Rules: A Review of the Alternative Methodologies; 3.2.1 Filter Strategies; 3.2.2 Moving Average Rule; 3.2.3 Momentum Strategy Based on a Simple Regression Model; 3.2.4 Cross-sectional Momentum Strategy (XSMOM); 3.2.5 Time Series Momentum Strategy (TSMOM); 3.3 Optimal Trading Rules; 3.3.1 Detailed Methodology.
3.3.2 Finding the Optimum Trading Rule3.3.2.1 Visual Analysis of Autocorrelation; 3.3.2.2 Long Memory in the Return Series: The RS Statistics and Modified RS Statistics; 3.3.2.3 Construction of Trading Rule; Portfolio 1: 100 % Green; Portfolio 2: 25 % Green (G25); Portfolio 33: 50 % Green; Portfolio 4: 75 % Green; Portfolio 5: 100 % Gray; 3.4 Does Green Really Rule the Others? A Bird's Eye Perspective; References; 4 Epilogue; Abstract ; Reference; Appendix.
2.3.2 Comparison of Market Risk of Portfolios: Transmission from Market Return and Market Volatility to Individual Portfolios2.3.2.1 Comparison of Market Risk of Portfolios: How Volatility in Market Return Affects the Volatility of Individual Portfolio Returns; 2.3.2.2 Comparison of Market Risk of Portfolios: A Conditional Correlation and Empirical Survivor Function Approach; 2.4 Are the Green Portfolios Inherently Unstable? A Look into Possible Nonlinearity of Portfolio Returns; 2.4.1 Test for Nonlinearity: BDS Test; 2.4.2 The State Space Reconstruction.
2.4.3 Mutual Information Criterion: Finding T 2.4.4 False Nearest Neighborhood: Decide the Optimal m; 2.4.5 Determinism Test; 2.4.6 Maximum Lyapunov Exponent; 2.5 How Shockproof the Green Portfolios Are: A Survival Analysis; 2.5.1 Potential of the Green Portfolios to Survive Financial Crisis: A Scenario Analysis; 2.5.1.1 Performance of Green, Semi-green, and Gray Portfolios in Scenario I; 2.5.1.2 Performance of Green, Semi-green, and Gray Portfolios in Scenario II; 2.5.2 Potential of the Green Portfolios to Survive Financial Crisis: A Survival Analysis Using Stress Index.
2.6 Factors Affecting Financial Stress: Greens Versus Grays2.7 Are the Greens Obvious Choice Over the Grays? Some Remarks; References; 3 Profits Are Forever: A Green Momentum Strategy Perspective; Abstract ; 3.1 Beating the Market-End of a Myth?; 3.2 Technical Trading Rules: A Review of the Alternative Methodologies; 3.2.1 Filter Strategies; 3.2.2 Moving Average Rule; 3.2.3 Momentum Strategy Based on a Simple Regression Model; 3.2.4 Cross-sectional Momentum Strategy (XSMOM); 3.2.5 Time Series Momentum Strategy (TSMOM); 3.3 Optimal Trading Rules; 3.3.1 Detailed Methodology.
3.3.2 Finding the Optimum Trading Rule3.3.2.1 Visual Analysis of Autocorrelation; 3.3.2.2 Long Memory in the Return Series: The RS Statistics and Modified RS Statistics; 3.3.2.3 Construction of Trading Rule; Portfolio 1: 100 % Green; Portfolio 2: 25 % Green (G25); Portfolio 33: 50 % Green; Portfolio 4: 75 % Green; Portfolio 5: 100 % Gray; 3.4 Does Green Really Rule the Others? A Bird's Eye Perspective; References; 4 Epilogue; Abstract ; Reference; Appendix.