Prague Economic Papers 2025, 34(2):137-164 | DOI: 10.18267/j.pep.889

Risk-Adjusted Performance of American and European Clean-Energy Portfolios

Dejan Živkov ORCID..., Boris Kuzman, Katica Radosavljević
Dejan Živkov, Corresponding author - Institute of agricultural economics, Belgrade, Serbia. Address: Volgina 15, 11060 Belgrade
Boris Kuzman: Institute of agricultural economics, Belgrade, Serbia. Address: Volgina 15, 11060 Belgrade,
Katica Radosavljević: Institute of agricultural economics, Belgrade, Serbia. Address: Volgina 15, 11060 Belgrade

This study constructs two eight-asset green-energy portfolios, featuring stocks from the U.S. and Europe, to assess which portfolio delivers superior risk-adjusted performance. The analysis utilizes advanced performance metrics, the Stutzer and Omega ratios, with the traditional Sharpe ratio serving as a benchmark. Portfolios are evaluated across both pre-crisis and crisis periods. The results reveal differences in the structures of the Sharpe and Stutzer portfolios, underscoring the Stutzer ratio's ability to improve portfolio performance. Additionally, the Omega portfolio enhances the analysis by allowing the selection of varying thresholds, offering greater adaptability to align with diverse investor preferences. When comparing the U.S. and European portfolios, the U.S. portfolio consistently demonstrates better risk-adjusted performance. This advantage stems from factors such as favorable market dynamics, supportive government policies, greater access to capital, advanced technological innovation, and effective corporate strategies.

Keywords: green-energy portfolios, sophisticated performance metrics
JEL classification: G11, G32, P28

Received: February 6, 2025; Revised: March 27, 2025; Accepted: May 7, 2025; Published: July 12, 2025  Show citation

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Živkov, D., Kuzman, B., & Radosavljević, K. (2025). Risk-Adjusted Performance of American and European Clean-Energy Portfolios. Prague Economic Papers, 34(2), 137-164. doi: 10.18267/j.pep.889
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