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. …

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

This study analyses the risk dependence of international stock portfolio based on three risk metrics, namely, the …

adjusted to its risk. We summarize market liquidity by two major characteristics: a costly one because of the loss of … indicators are proposed to integrate, to a certain extent, market liquidity risk, especially for hedge funds investment … strategies according to their liquidity profile: do they want to capture illiquidity risk premium? Do they want to be free to …

the end of June 2009. Since hedge funds have been marketed to investors as risk diversifiers in addition to being return …

In this paper, we aim at constructing a global risk model using the term structure from major bond-issuing countries …. The goal is twofold: first this allows quantifying global interest rate risk (level, slope and curvature effects … in a risk parity framework where each country's sensitivity to global interest risk is accounted for. More specifically …