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

There is an increasing likelihood that governments of major economies will act within the next decade to reduce greenhouse gas emissions, probably by intervening in the fossil fuel markets through taxation or cap & trade mechanisms (collectively “carbon pricing”). We develop a model to capture t...

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Veröffentlicht in:Annals of operations research Jg. 299; H. 1-2; S. 847 - 871
Hauptverfasser: Benedetti, Davide, Biffis, Enrico, Chatzimichalakis, Fotis, Fedele, Luciano Lilloy, Simm, Ian
Format: Journal Article
Sprache:Englisch
Veröffentlicht: New York Springer US 01.04.2021
Springer
Springer Nature B.V
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ISSN:0254-5330, 1572-9338
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Abstract There is an increasing likelihood that governments of major economies will act within the next decade to reduce greenhouse gas emissions, probably by intervening in the fossil fuel markets through taxation or cap & trade mechanisms (collectively “carbon pricing”). We develop a model to capture the potential impact of carbon pricing on fossil fuel stocks, and use it to inform Bayesian portfolio construction methodologies, which are then used to create what we call Smart Carbon Portfolios. We find that investors could reduce ex-post risk by lowering the weightings of some fossil fuel stocks with corresponding higher weightings in lower-risk fossil fuel stocks and/or in the stocks of companies active in energy efficiency markets. The financial costs of such de-risking strategy are found to be statistically negligible in risk-return space. Robustness of the results is explored with alternative approaches.
AbstractList There is an increasing likelihood that governments of major economies will act within the next decade to reduce greenhouse gas emissions, probably by intervening in the fossil fuel markets through taxation or cap & trade mechanisms (collectively "carbon pricing"). We develop a model to capture the potential impact of carbon pricing on fossil fuel stocks, and use it to inform Bayesian portfolio construction methodologies, which are then used to create what we call Smart Carbon Portfolios. We find that investors could reduce ex-post risk by lowering the weightings of some fossil fuel stocks with corresponding higher weightings in lower-risk fossil fuel stocks and/or in the stocks of companies active in energy efficiency markets. The financial costs of such de-risking strategy are found to be statistically negligible in risk-return space. Robustness of the results is explored with alternative approaches.
Audience Academic
Author Chatzimichalakis, Fotis
Benedetti, Davide
Fedele, Luciano Lilloy
Simm, Ian
Biffis, Enrico
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  surname: Benedetti
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  organization: Imperial College Business School, Imperial College London, South Kensington Campus
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  orcidid: 0000-0001-5984-0942
  surname: Biffis
  fullname: Biffis, Enrico
  email: e.biffis@imperial.ac.uk
  organization: Imperial College Business School, Imperial College London, South Kensington Campus
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  givenname: Fotis
  surname: Chatzimichalakis
  fullname: Chatzimichalakis, Fotis
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  givenname: Luciano Lilloy
  surname: Fedele
  fullname: Fedele, Luciano Lilloy
  organization: Impax Asset Management
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  givenname: Ian
  surname: Simm
  fullname: Simm, Ian
  organization: Impax Asset Management
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Keywords Climate change
Portfolio theory
Carbon pricing
Bayesian analysis
Black–Litterman model
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SubjectTerms Analysis
Business and Management
Carbon
Carbon taxes
Climate change
Combinatorics
Finance
Fossil fuels
Fuel industry
Greenhouse gases
Laws, regulations and rules
Methods
Operations research
Operations Research/Decision Theory
Pricing
Risk
Risk management
S.I.: Recent Developments in Financial Modeling and Risk Management
Securities
Socially responsible investments
Stocks
Taxation
Theory of Computation
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