Do green bonds and ESG leaders enhance multi-asset portfolios? A performance analysis

Maziar Sahamkhadam and Andreas Stephan

Chapter 11 in Handbook of ESG Investing, 2026, pp 226-258 from Edward Elgar Publishing

Abstract: We examine the benefits of incorporating green bonds and ESG-leader stocks into multi-asset portfolios. Utilizing daily excess returns of global stocks, bonds, commodities, and cryptocurrencies from January 1, 2015 to July 16, 2025, we construct aggressive and conservative portfolios and compare the out-of-sample performance of these baseline portfolios with those that include green bonds and ESG leaders. To forecast and simulate the returns of underlying assets, we apply stationary vine (S-vine) copula models that incorporate both cross-sectional and serial dependence structures. The results indicate that adding both green bonds and ESG leaders yields higher risk-adjusted returns as well as lower volatility and downside risk, particularly for aggressive strategies, even during periods of market turbulence. However, the benefits of sustainable assets for conservative strategies are limited. Robustness checks reveal statistically significant improvements in most performance measures for including both green bonds and ESG leaders, particularly when incorporating country and sector diversification.

Keywords: Green bonds; ESG investing; Portfolio optimization; Stationary vine copulas; Sustainable finance (search for similar items in EconPapers)
Date: 2026
ISBN: 9781035322770
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.elgaronline.com/doi/10.4337/9781035322787.00017 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:elg:eechap:22853_11

Ordering information: This item can be ordered from
http://www.e-elgar.com

Access Statistics for this chapter

More chapters in Chapters from Edward Elgar Publishing
Bibliographic data for series maintained by Jack Sweeney ().