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We propose a criterion for portfolio selection, implied excess Sharpe ratio. The implied excess Sharpe ratio is intended as an excess Sharpe ratio (versus the underlying stock) that investors can expect to enjoy from portfolios that include options and is a useful ex ante indicator that can be...
Persistent link: https://www.econbiz.de/10010679172
The aim of this work is to bring an econometric approach upon the CO2 market. We identify the specificities of this market, and analyze the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and their result of the calibration. We apprehend and explain...
Persistent link: https://www.econbiz.de/10010549078
structured product specific to the carbon market, the swap between two carbon instruments : The European Union Allowances and the …
Persistent link: https://www.econbiz.de/10010738507
several modelling methods for CO2 emission prices. We use these results for risk modeling of the swap between two CO2 related …
Persistent link: https://www.econbiz.de/10010603688