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Factor mimicking portfolios for climate risk

De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2023 - This version: March 2023

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …

Persistent link: https://www.econbiz.de/10014232089

Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - In: Journal of financial economics 142 (2021) 1, pp. 23-45

Persistent link: https://www.econbiz.de/10012650655

Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2020

Persistent link: https://www.econbiz.de/10012300973

Hedging climate change news

Engle, Robert F.; Giglio, Stefano; Kelly, Bryan T.; … - In: The review of financial studies 33 (2020) 3, pp. 1184-1216

Persistent link: https://www.econbiz.de/10012198087

Understanding momentum and reversal

Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth - In: Journal of financial economics 140 (2021) 3, pp. 726-743

Persistent link: https://www.econbiz.de/10013259592

Complexity in factor pricing models

Didisheim, Antoine; Ke, Barry; Kelly, Bryan T.; … - 2024

We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance---in terms of SDF Sharpe ratio and test asset pricing errors---is improving in model parameterization (or "complexity''). Our empirical findings verify the...

Persistent link: https://www.econbiz.de/10014472608