Arbeitspapier
Factor mimicking portfolios for climate risk
We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum correlation approaches by taking into account new methodologies of estimating large-dimensional covariance matrices in short samples. In an extensive empirical out-of-sample performance test, we demonstrate the superior all-around performance delivering markedly higher and statistically significant alphas and betas with the climate risk indices.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 429
- Klassifikation
-
Wirtschaft
Financial Econometrics
Portfolio Choice; Investment Decisions
General Financial Markets: Government Policy and Regulation
Climate; Natural Disasters and Their Management; Global Warming
- Thema
-
Climate change
factor model
portfolio selection
sustainable portfolio
- Ereignis
-
Geistige Schöpfung
- (wer)
-
De Nard, Gianluca
Engle, Robert F.
Kelly, Bryan T.
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Zurich, Department of Economics
- (wo)
-
Zurich
- (wann)
-
2023
- DOI
-
doi:10.5167/uzh-232244
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- De Nard, Gianluca
- Engle, Robert F.
- Kelly, Bryan T.
- University of Zurich, Department of Economics
Entstanden
- 2023
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