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. We show that log-regularization leads to a fund...

The 2015 Paris Agreement is a landmark in limiting emissions and targeting global warming well below 2, preferably 1.5, degrees Celsius compared to pre-industrial levels. In this light, we investigate how to efficiently construct equity portfolios that help mitigating climate change risk but at...

Lack of transparency in the global supply chains has emerged as a major risk for sustainability in the recent times. This is due to customer awareness about human rights and environmental issues and government legislations in the hosting countries to hold the organizations responsible for the...

A formula is derived for the social cost of carbon (SCC) that takes account of intragenerational income inequality and its evolution with economic growth. The social discount rate (SDR) should be adjusted to account for intragenerational and intergenerational inequality aversion and for risk...

This paper contributes to the normative literature on mitigation and adaptation by framing the question of their optimal policy balance in the context of catastrophic climate risk. The analysis uses the WITCH integrated assessment model with a module that models the endogenous risk of...

Resource prices rise when more costly sources need to be exploited. When the world price increases, owners of low-cost sources receive scarcity rents. The magnitude of the rents depends on the range of resource qualities being simultaneously exploited and can represent a substantial transfer of...