Governmental incentives for Green bonds investment
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Publication:2155563
Abstract: Motivated by the recent studies on the green bond market, we build a model in which an investor trades on a portfolio of green and conventional bonds, both issued by the same governmental entity. The government provides incentives to the bondholder in order to increase the amount invested in green bonds. These incentives are, optimally, indexed on the prices of the bonds, their quadratic variation and covariation. We show numerically on a set of French governmental bonds that our methodology outperforms the current tax-incentives systems in terms of green investments. Moreover, it is robust to model specification for bond prices and can be applied to a large portfolio of bonds using classical optimisation methods.
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Cited in
(6)- De-risking of green investments through a green bond market -- empirics and a dynamic model
- Pollution Regulation for Electricity Generators in a Transmission Network
- Continuous-time incentives in hierarchies
- A principal-agent model for optimal incentives in renewable investments
- A new approach to principal-agent problems with volatility control
- Randomisation with moral hazard: a path to existence of optimal contracts
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