Price of climate risk hedging under uncertainty

被引：20
|
作者：
Rubtsov, Alexey [1 ]
Xu, Wei [1 ]
Sevic, Aleksandar [2 ]
Sevic, Zeljko [3 ]
机构：
[1] Ryerson Univ, Dept Math, Victoria Bldg,350 Victoria St, Toronto, ON, Canada
[2] Trinity Coll Dublin, Trinity Business Sch, Dublin D02 F6N2, Ireland
[3] Univ Utara Malaysia, Othman Yeop Abdullah Grad Sch Business, Sintok, Kedah Darul Ama, Malaysia
来源：
TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE | 2021年 / 165卷
关键词：
Climate change; Robust portfolio choice; Hedging strategies; Pricing illiquid claims; Model uncertainty;
D O I：
10.1016/j.techfore.2020.120430
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this manuscript, we examine the welfare benefits of climate risk hedges and the effects of climate uncertainty on optimal portfolios with different investment horizons. We consider the case when an investor who trades in a stock market also holds a claim that pays off when an adverse climate scenario materializes. The optimal investment strategy, the price of the claim, and the cost of climate change uncertainty are derived. It is shown that climate uncertainty reduces stock investment. Furthermore, an increase in climate uncertainty decreases investor's welfare, even when climate risk hedging instruments are available.
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页数：10
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