Hedging Climate Risk

被引：204

作者：

Andersson, Mats ^{[1
]}

Bolton, Patrick ^{[2
]}

Samama, Frederic ^{[3
]}

机构：

[1] AP4, Stockholm, Sweden

[2] Columbia Univ, Business, New York, NY USA

[3] Amundi Asset Management, Inst Clients, Paris, France

来源：

FINANCIAL ANALYSTS JOURNAL | 2016年 / 72卷 / 03期

关键词：

D O I：

10.2469/faj.v72.n3.4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We present a simple dynamic investment strategy that allows long-term passive investors to hedge climate risk without sacrificing financial returns. We illustrate how the tracking error can be virtually eliminated even for a low-carbon index with 50% less carbon footprint than its benchmark. By investing in such a decarbonized index, investors in effect are holding a "free option on carbon." As long as climate change mitigation actions are pending, the low-carbon index obtains the same return as the benchmark index; but once carbon dioxide emissions are priced, or expected to be priced, the low-carbon index should start to outperform the benchmark.

引用

页码：13 / 32

页数：20