Abstract Energy stock market is closely related with energy economic, energy applications and energy policies, but it is filled with various uncertainties such as stock market scenarios, government policies, especially the input parameters of stock portfolio models. Jointly managing these uncertainties is notoriously hard for energy stock market investments. Although robust portfolio is the prevailing portfolio policy handling with uncertainties, it mostly focuses on the worst-case scenario of all the possible realizations of uncertain input parameters, resulting in the optimal portfolios considerably conservative and the portfolio performances very inferior. To this end, from the innovative perspective of best-case scenario, based on Markowitz’s mean-variance (MV) model, this paper constructs the best-case scenario based robust portfolio formulation (RMV-best), just contrary to the one based on the worst-case scenario (RMV-worst). Furthermore, stock market scenarios which uncertainly shift, intuitively, show the periodic characteristics, and can be divided into three movement states: the bull, the bear and the steady. To verify the consistency of RMV-best, RMV-worst and MV portfolio policies over the different motion cycles and identify the differences of these portfolio policies at various movement states, the mix data including two motion cycles and three industry sectors is employed, and the impacts of government policies on energy portfolio policies-making also analyzed. Eventually, empirical results indicate that RMV-best is always the most favorable portfolio policy at the bull and the bear market, while MV can produce more profitable portfolios at the steady market over two motion cycles. However, the limitations of RMV-worst, further, are confirmed in this study.

中文翻译：

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能源股票市场的最佳案例情景稳健投资组合

摘要 能源股票市场与能源经济、能源应用和能源政策密切相关，但它充满了各种不确定性，如股票市场情景、政府政策，尤其是股票投资组合模型的输入参数。众所周知，能源股票市场投资很难共同管理这些不确定性。虽然稳健的投资组合是具有不确定性的流行的投资组合政策处理，但它主要关注不确定输入参数的所有可能实现的最坏情况，导致最优投资组合相当保守，投资组合表现非常差。为此，从最佳案例场景的创新角度，基于 Markowitz 的均值方差 (MV) 模型，本文构建了基于最佳情况的稳健投资组合公式（RMV-best），与基于最坏情况（RMV-worst）的方案正好相反。此外，不确定转移的股市情景，直观上呈现周期性特征，可分为牛、熊、稳三种运动状态。为了验证不同运动周期下的 RMV-best、RMV-worst 和 MV 组合策略的一致性，并识别这些组合策略在不同运动状态下的差异，采用包括两个运动周期和三个行业部门的混合数据，并还分析了政府政策对能源组合政策制定的影响。最终，实证结果表明 RMV-best 始终是牛市和熊市中最有利的投资组合政策，而 MV 可以在两个运动周期内在稳定的市场上产生更有利可图的投资组合。然而，本研究进一步证实了 RMV-worst 的局限性。