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This research aims to select the best-fitting model(s) of equal risk contribution portfolios (ERC). ERC is a robust estimation in the absence of reasonable expectations about future returns.

The portfolio consists of five environmental-friendly exchange-traded funds (ETFs). It applies equal risk optimization, beneficial when the assets are firmly linked, such as the ETFs. This paper operationalizes 20 covariance models in portfolio construction, and a portfolio with classic covariance is the benchmark to beat. To select the best-fitting model(s), the paper applies statistical inferences of the model confidence set. This research also constructs the newly-developed minimum connectedness optimization method and utilizes maximum drawdown as the primary evaluation tool.

The outbreak of COVID-19 hugely impacts the portfolio drawdown. The results also show that the classic covariance is hard to beat, partly explained by estimation error and model misspecification. This paper suggests that equal risk contribution can benefit from copula-based covariance. It consistently and significantly outperforms the other models in various robustness tests.

In the absence of substantial predictions about future returns and the existence of strongly linked assets, selecting appropriate portfolio components by risk contribution is a sound choice.

This is the first paper to select the best-fitting model(s) of ERC portfolio during the COVID-19.

This paper aims to analyze the time-varying connectedness of gold-backed cryptocurrencies and gold. This study determines the volatility spillovers in these two asset classes and the performance of bivariate portfolios based on net pairwise spillovers.

This research uses two Islamic and four conventional gold-backed cryptocurrencies and gold as variables. GJR-GARCH method under corrected DCC (cDCC) of Aielli (2013) evaluates the dynamic connectedness. Additionally, the spillovers are created using the dynamic connectedness of Diebold and Yilmaz (2012). A network-based spillover of Diebold and Yılmaz, (2014) is also made. A dynamic optimal weights strategy optimized with DCC-t-Copula determines bivariate portfolios’ performances. In general, there are 21 bivariate portfolios.

The outbreak of COVID-19 increases the dynamic connectedness of gold and gold-backed cryptocurrencies, which indicates a contagion effect. The results show that gold is the net volatility receiver during the COVID-19 pandemic. Moreover, a portfolio composed of gold and gold-backed cryptocurrency provides high profitability performance but zero hedge effectiveness under optimal weights strategy.

According to bivariate portfolios based on net pairwise spillovers, gold-backed cryptocurrencies' investors should not add gold to their portfolio during the pandemic because it is a net receiver of risk from the cryptocurrencies.

To the best of the author’s knowledge, this is the first paper to create bivariate portfolios composed of gold-backed cryptocurrencies and their underlying asset using DCC-t-Copula.

It is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC) and most diversified portfolio (MDP).

This study applied dynamic covariances from multivariate GARCH(1,1) with Student’s-t-distribution. This research also constructed static optimization from the conventional MVP, ERC and MDP as comparison. Moreover, the optimization involved transaction cost and out-of-sample analysis from the rolling windows method. The sample consisted of ten significant cryptocurrencies.

Dynamic optimization enhanced risk-adjusted return. Moreover, dynamic MDP and ERC could win the naïve strategy (1/N) under various estimation windows, and forecast lengths when the transaction cost ranging from 10 bps to 50 bps. The researcher also used another researcher's sample as a robustness test. Findings showed that dynamic optimization (MDP and ERC) outperformed the benchmark.

Sophisticated investors may use the dynamic ERC and MDP to optimize cryptocurrencies portfolio.

To the best of the author’s knowledge, this is the first paper that studies the dynamic optimization on MVP, ERC and MDP using DCC and ADCC-GARCH with multivariate-t-distribution and rolling windows method.

Islamic law, as the fundamental framework for Islamic bank operations, emphasizes the transparency of bank performance information to the ummah (stakeholders). This study aims to prove the effect of performance disclosure (shariah compliance, social, environmental and economic performance) on profitability, customer loyalty and cost of debt.

This study uses 23 Islamic banks in Indonesia and Malaysia observed for 15 years (2009–2023) and analyzed using panel data regression.

We report that disclosure performance negatively impacts the cost of debt. However, by testing each performance disclosure indicator, we find that disclosure of Shariah and environmental compliance performance positively impacts customer loyalty. In addition, environmental performance disclosure negatively impacts the cost of debt. In the long term, we report that customer loyalty increases in line with the expansion of shariah, social, environmental and economic compliance performance disclosures. In addition, environmental performance disclosure has a positive effect on return on assets (ROE).

This study is limited to Islamic banks in Indonesia and Malaysia, which are predominantly Muslim. Muslims are the primary market for Islamic banks and a major factor in determining Islamic bank legitimacy.

We recommend that regulators encourage banks to expand bank performance disclosure by issuing regulations and laws, such as creating rankings for Islamic banks’ disclosure performance or rewarding banks that provide broader disclosures. Thus, it will help stakeholders to access bank performance information.

The contribution of this study is to develop the concept of business sustainability through comprehensive performance disclosure, including Shariah compliance and social, environmental and economic performance.