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High-carbon screening out : a DCC-MIDAS-climate policy risk method

Ding, Hao; Ji, Qiang; Ma, Rufei; Zhai, Pengxiang - In: Finance research letters 47 (2022) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013455234

The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio

Roncalli, Théo; Le Guenedal, Théo; Lepetit, Frederic; … - 2021

Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with carbon intensity metrics. Nevertheless, it has not been...

Persistent link: https://www.econbiz.de/10013247788

Carbon Dioxide as a Risky Asset

Bauer, Adam Michael; Proistosescu, Christian; Wagner, Gernot - 2023

We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk and uncertainty that is consistent with the Intergovernmental Panel on Climate Change’s sixth assessment report. We find that this approach provides economic support for the...

Persistent link: https://www.econbiz.de/10014255593

Carbon Dioxide as a Risky Asset

Bauer, Adam; Proistosescu, Christian; Wagner, Gernot - 2023

Persistent link: https://www.econbiz.de/10014255711

Carbon dioxide as a risky asset

Bauer, Adam Michael; Proistosescu, Cristian; Wagner, Gernot - 2023

We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk and uncertainty that is consistent with the Intergovernmental Panel on Climate Change's sixth assessment report. We find that this approach provides economic support for the...

Persistent link: https://www.econbiz.de/10013549072

A reinforcement learning algorithm for trading commodities

Giorgi, Federico; Herzel, Stefano; Pigato, Paolo - 2023

Persistent link: https://www.econbiz.de/10014249143

Does it pay to invest in environmental stocks?

Tzouvanas, Panagiotis; Mamatzakis, Emmanuel C. - In: International review of financial analysis 77 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012805897

Environmental Policy in Vertical Chains with Endogenous Technology Portfolio

Basak, Debasmita; Chioveanu, Ioana - 2023

We analyse the impact of environmental policy in a vertical chain where an upstream monopolist uses a mixed portfolio, consisting of a polluting and a green technology. We examine and compare a no-intervention benchmark, a green subsidy, an abatement tax, a mandatory green standard, and a...

Persistent link: https://www.econbiz.de/10014344679

Environmental, social, and governance criteria : why investors are paying attention

Jagannathan, Ravi; Ravikumar, Ashwin; Sammon, Marco - 2017

Persistent link: https://www.econbiz.de/10011782640

Dirty Air and Green Investments : The Impact of Pollution Information on Portfolio Allocations

Fisman, Raymond; Ghosh, Pulak; Sarkar, Arkodipta; … - National Bureau of Economic Research - 2023

We study exposure to pollution information and investment portfolio allocations, exploiting the rollout of air quality … are negatively related to local air pollution after a monitoring station appears nearby, with particularly pronounced … effects on ``alert'' dates when air quality is listed as harmful to the general population. The effect of pollution …

Persistent link: https://www.econbiz.de/10014421239