Paper Title
Comparing Returns and Risks of Portfolio with Green Bond and without Green Bond

Abstract
The paper aims to quantify and compare value at risk, conditional value at risk as well as the returns between stock-non green bond and stock-green bond portfolios. And find the portfolios weights allocation. Using the daily closing prices of Shanghai Composite Index, Shenzhen composite index, 21 treasury bonds (7), 16 R & F 11 corporate bond, SSE green bond index as the original data, the paper constructs three investment portfolios of stocks and different bond portfolios. In order to consider the financial asset contains high dynamic condition correlation, the study employs the DCC-GARCH and uses the Monte Carlo simulation technique to generate the simulated data to compute Value at Risk (VaR) and Conditional Value at Risk (CVaR). Our results show that, from the perspective of portfolio risks, the portfolio of stocks and green bonds has the lowest risks among the three portfolio investments, but from the perspective of returns, the portfolio of stocks and corporate bonds has higher returns, while the portfolio of stocks and treasury bonds has the lowest returns. Therefore, if investors prefer high risk and high return, the portfolio of stocks and corporate bonds will be more attractive, portfolio allocation is 0.58% of SSE, 9.89% of SZSE, and 89.53% of C. BOND where risk and return of the portfolio are 1.03% and 0.07%, respectively. But investors, if pursuing lower risk, the portfolio of stocks and green bonds is more attractive, with lower risk and moderate return in three portfolios, portfolio allocation is 0.11% of SSE, 0.19% of SZSE, and 99.70% of G. BOND where risk and return of the portfolio are 0.08% and 0.02%, respectively. Keywords - Green Bond, Non-Green Bond, Optimization Method, Value at Risk.