Carbon risk hedging: reducing portfolio carbon risk using a beta hedge ratio

DOI10.1142/S0219024924500067MaRDI QIDQ6587518zbMATH OpenFDO

Authors Mathis Leifhelm, Peter Scholz

Publication date 14 August 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024924500067

zbMATH Keywords

carbon riskhedgingoptimal hedge ratio

Mathematics Subject Classification ID

Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Portfolio theory (91G10)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy
• Generalized autoregressive conditional heteroscedasticity
• Hedging climate risks with green assets
• PRICING AND HEDGING IN CARBON EMISSIONS MARKETS

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