Clean energy assets have opened up new investment opportunities for market participants. How to construct an efficient clean energy stock portfolio and how it would perform in comparison to traditional assets remain unclear. To fill this gap, this paper investigates optimal allocation within the clean energy stock market. Specifically, the risk and return characteristics of individual clean energy stock sub-sectors are examined. Optimization techniques are used to generate the desired clean energy stock allocation. The performance is compared to the equity market benchmark and dirty energy stocks. The results show that the risk and return on clean energy stock sub-sectors vary significantly. Clean energy stocks generally underperform the overall equity market but outperform dirty stocks. For investors looking to decarbonize their portfolios, the minimum-tail risk strategy is superior to the minimum-variance strategy. The index that tracks developers and operators of renewable energy projects provides the best risk-adjusted returns for investors with moderate risk tolerance and is effective at mitigating the volatility risk of dirty assets. The wind and energy storage indices, however, are the preferred options for reducing the tail risks of dirty assets. The findings shed light on the efficacy of clean energy portfolio optimization strategies and the heterogeneous diversification benefits across clean energy stock sub-sectors, which has important implications for investors constructing clean energy portfolios to meet investment objectives.

清洁能源资产为市场参与者开辟了新的投资机会。如何构建高效的清洁能源股票投资组合以及与传统资产相比其表现如何仍不清楚。为了填补这一空白，本文研究了清洁能源股票市场的优化配置。具体而言，考察了单个清洁能源股票子行业的风险和收益特征。优化技术用于生成所需的清洁能源库存分配。将表现与股票市场基准和肮脏的能源股票进行比较。结果表明，清洁能源股票子行业的风险和收益差异显着。清洁能源股普遍跑输整体股市，但跑赢脏股。对于希望使投资组合脱碳的投资者，最小尾风险策略优于最小方差策略。该指数跟踪可再生能源项目的开发商和运营商，为风险承受能力中等的投资者提供最佳的风险调整回报，并有效降低脏资产的波动风险。然而，风能和储能指数是降低脏资产尾部风险的首选方案。研究结果阐明了清洁能源投资组合优化策略的有效性以及清洁能源股票子行业的异质多元化收益，这对投资者构建清洁能源投资组合以实现投资目标具有重要意义。该指数跟踪可再生能源项目的开发商和运营商，为风险承受能力中等的投资者提供最佳的风险调整回报，并有效降低肮脏资产的波动风险。然而，风能和储能指数是降低脏资产尾部风险的首选方案。研究结果阐明了清洁能源投资组合优化策略的有效性以及清洁能源股票子行业的异质多元化收益，这对投资者构建清洁能源投资组合以实现投资目标具有重要意义。该指数跟踪可再生能源项目的开发商和运营商，为风险承受能力中等的投资者提供最佳的风险调整回报，并有效降低肮脏资产的波动风险。然而，风能和储能指数是降低脏资产尾部风险的首选方案。研究结果阐明了清洁能源投资组合优化策略的有效性以及清洁能源股票子行业的异质多元化收益，这对投资者构建清洁能源投资组合以实现投资目标具有重要意义。是降低脏资产尾部风险的首选选项。研究结果阐明了清洁能源投资组合优化策略的有效性以及清洁能源股票子行业的异质多元化收益，这对投资者构建清洁能源投资组合以实现投资目标具有重要意义。是降低脏资产尾部风险的首选选项。研究结果阐明了清洁能源投资组合优化策略的有效性以及清洁能源股票子行业的异质多元化收益，这对投资者构建清洁能源投资组合以实现投资目标具有重要意义。