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Dynamic portfolio decisions with climate risk and model uncertainty
Rubtsov, Alexey; Shen, Sally - In: Journal of sustainable finance & investment 14 (2024) 2, pp. 344-365
Persistent link: https://www.econbiz.de/10014563824
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Factor-mimicking portfolios for climate risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - In: Financial analysts journal : FAJ 80 (2024) 3, pp. 37-58
Persistent link: https://www.econbiz.de/10015050470
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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 … temperature rises, significantly increase risk premia. …
Persistent link: https://www.econbiz.de/10012258563
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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
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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
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Factor Mimicking Portfolios for Climate Risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 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/10014351376
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Can green investment funds hedge climate risk?
Arfaoui, Nadia; Naeem, Muhammad Abubakr; Maherzi, Teja; … - In: Finance research letters 60 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014490434
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Evaluating physical climate risk for equity funds with quantitative modelling : how exposed are sustainable funds?
Wiklund, Sofia - In: Journal of sustainable finance & investment 13 (2023) 2, pp. 893-918
Persistent link: https://www.econbiz.de/10014373524
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Return volatility, correlation, and hedging of green and brown stocks : is there a role for climate risk factors?
Li, Haohua; Bouri, Elie; Gupta, Rangan; Fang, Libing - 2023
Persistent link: https://www.econbiz.de/10013482253
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Factor mimicking portfolios for climate risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2024 - This version: March 2024
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/10014531337