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Asset diversification versus climate action
Hambel, Christoph; Kraft, Holger; Ploeg, Frederick van der - 2020
and a carbon-intensive sector. We allow for endogenous growth and three types of damages from global warming. It is shown …. In the longer run, however, a trade-off between diversification and climate action emerges. We derive the optimal carbon …
Persistent link: https://www.econbiz.de/10012258563
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Risk measurement of international carbon market based on multiple risk factors heterogeneous dependence
Chen, Zhang; Yang, Yu; Yun, Po - In: Finance research letters 32 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012430683
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The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems
Chai, Shanglei; Zhou, Peng - In: Energy economics 76 (2018), pp. 64-75
Persistent link: https://www.econbiz.de/10011976584
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Asset diversification versus climate action
Hambel, Christoph; Kraft, Holger; Ploeg, Frederick van der - 2020
Persistent link: https://www.econbiz.de/10012229269
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Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme
Fan, John Hua; Roca, Eduardo; Akimov, Aleksandr V. - In: Australian journal of management 39 (2014) 1, pp. 73-91
Persistent link: https://www.econbiz.de/10010353551
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Simulating risk contributions of credit portfolios
Liu, Guangwu - In: Operations research 63 (2015) 1, pp. 104-121
Persistent link: https://www.econbiz.de/10010519509
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...
Persistent link: https://www.econbiz.de/10010490408
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Combining a matheuristic with simulation for risk management of stochastic assets and liabilities
Bayliss, Christopher; Serra, Marti; Nieto, Armando; … - In: Risks : open access journal 8 (2020) 4/131, pp. 1-14
Specially in the case of scenarios under uncertainty, the efficient management of risk when matching assets and … maximises the overall benefit over a time horizon. To solve this stochastic optimisation problem, a simulation …-Carlo simulation is employed to estimate the risk of failing to pay due liabilities. The simulation results allow us to set a safety …
Persistent link: https://www.econbiz.de/10012391566
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Utility-based shortfall risk : efficient computations via Monte Carlo
Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392
Persistent link: https://www.econbiz.de/10011969327