portfolios that help mitigating climate change risk but at the same time enable harvesting well-established return drivers such …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio … companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market ….24% per month on a risk-adjusted basis. High climate beta funds tilt their holdings toward stocks with high potential to hedge …

We propose a proxy for a climate risk factor, the pollutive-minus-clean (PMC) portfolio, which captures differences in … obtain estimates of asset-level climate risk exposure: 'carbon beta'. Validation of carbon betas confirms that variation in … climate risk exposures aligns with our prior expectations. Our measure has desirable properties regarding availability …

appealing downside risk (DR) framework suggested by Estrada (2008), which applies a similar optimization algorithm as the MV …

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. …

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. …

-and-hold strategy, the buy-and-sell strategy is much more effective in mitigating downside risk before, during, and after a crisis by … market downturn. In addition, the downside risk control model can detect a market downturn earlier than the mean …

transferring credit risk between two parties of debt instruments. In addition, the paper investigates how to effectively manage … downside risk using conditional value-at-risk (CVaR) when the aforementioned three asset classes are considered. We find that … sets and reduce the downside risk of diversified portfolios …

Risk parity has been considered a heuristic asset allocation method. In this paper, we show that, to the contrary, risk … parity is a special case of a mean-risk type of a portfolio optimization problem with log-regularization to constrain weights … unconstrained mean-risk portfolio and a risk parity (or risk budgeted in general) portfolio. We also demonstrate in a Bayesian …