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An integrated CVaR and real options approach to investments in the energy sector

Fortin, Ines; Fuss, Sabine; Hlouskova, Jaroslava; … - 2007

adoption decision of particular technologies under uncertainty. These technologies are coal-fired power plants, biomassfired … policy ; uncertainty ; real options ; electricity ; investments …

Persistent link: https://www.econbiz.de/10009736649

A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios

Alekseev, Georgij; Giglio, Stefano; Maingi, Quinn; … - 2022

quantity-based approach exploits information on how mutual fund managers trade in response to idiosyncratic changes in their … quantity-based portfolios have superior out-of-sample hedge performance compared to portfolios constructed using existing … alternative methods. The key advantage of the quantity-based approach is that it learns from rich cross-sectional trading …

Persistent link: https://www.econbiz.de/10014236043

Shocks to transition risk

Meinerding, Christoph; Schüler, Yves; Zhang, Philipp - 2023 - December 7, 2022

We propose and implement a method to identify shocks to transition risk, addressing key challenges regarding its definition and measurement. Our shocks are instances where significant new information about the economic relevance of climate change increases the valuation of green firms over brown...

Persistent link: https://www.econbiz.de/10014227599

Modelling the impact of different permit allocation rules on optimal power plant portfolios

Weber, Christoph; Vogel, Philip; Woll, Oliver - 2007

generation technologies, emission constraints, endogenous investment allocation rules and price elasticity of demand. In …

Persistent link: https://www.econbiz.de/10010425878

Institutional reform and depositors' portfolio choice : evidence from censored quantile regressions

Berlemann, Michael; Luik, Marc-André - 2014

In this paper we study the effect of institutional reform on the decision to hold risky assets at the extensive and the intensive margin. We therefore make use of the natural experiment of German Division and Reunification and, based on savings bank customer data from German savings banks, study...

Persistent link: https://www.econbiz.de/10010349868

Green bonds for the transition to a low-carbon economy

Lichtenberger, Andreas; Braga, João Paulo; Semmler, Willi - In: Econometrics : open access journal 10 (2022) 1, pp. 1-31

portfolios from oil price and business cycle fluctuations, and stabilize portfolio returns and volatility. Policymakers are …

Persistent link: https://www.econbiz.de/10013041187

Corporate Carbon Emissions Data for Equity and Bond Portfolios

Markwat, Thijs D.; Swinkels, Laurens - 2023

We compare corporate carbon emissions data of four data providers for investment universes relevant for investors in developed and emerging equity markets, as well as investment grade and high yield corporate bond markets. In contrast to Environmental, Social, and Governance sustainability...

Persistent link: https://www.econbiz.de/10014254770

Modeling the Impact of Different Permit Allocation Rules on Optimal Power Plant Portfolios

Vogel, Philip - 2010

Persistent link: https://www.econbiz.de/10013139407

Absolutely Sustainable Investing Across Asset Classes with Paris Aligned Benchmarks : An Application to AP2

Ekman, Claes; Hoepner, Andreas G. F.; Mannerbjörk, Peter; … - 2022

This manuscript presents a case study of EU Paris Aligned Benchmark (PAB) implementation across different asset classes in a Swedish state pension fund AP2. Three significant contributions are made. First, the manuscript introduces a notion of Absolutely Sustainable Investing based on the EU...

Persistent link: https://www.econbiz.de/10013406633

Asset diversification versus climate action

Hambel, Christoph; Kraft, Holger; Ploeg, Frederick van der - 2020

price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as …

Persistent link: https://www.econbiz.de/10012258563

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