Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy

DOI10.1007/s10479-019-03458-xzbMath1476.91139OpenAlexW2979887574WikidataQ126652950 ScholiaQ126652950MaRDI QIDQ2241097

Enrico Biffis, Luciano Lilloy Fedele, Davide Benedetti, Ian Simm, Fotis Chatzimichalakis

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-019-03458-x

zbMATH Keywords

Bayesian analysisportfolio theoryclimate changeBlack-Litterman modelcarbon pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Mean-variance portfolio optimization when means and covariances are unknown
• Comparison and robustification of Bayes and Black-Litterman models
• Computing efficient frontiers using estimated parameters
• Climate risks and market efficiency
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers
• Risk and asset allocation.

This page was built for publication: Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy