portfolios in terms of portfolio risk. While optimal daily weights minimize portfolio risk, we find that portfolio turnover and …

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. …

traditional Markowitz portfolio optimisation to the more recently popular risk-based portfolio optimisation. Our model is shown to … provide superior risk-adjusted returns for a currency carry trade strategy over the period 1999-2014 …

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 …

attractive risk-adjusted returns than a static-weight approach. However, the above-cited research has been mostly silent on the … explores this question. It finds that such a dynamic approach would have produced higher absolute returns, and higher risk …

drawdown significantly during the 2008 financial crisis. Finally, we compare results to risk parity and show that the above …