期刊
FINANCIAL ANALYSTS JOURNAL
卷 72, 期 3, 页码 13-32出版社
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.2469/faj.v72.n3.4
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资金
- Rockefeller Foundation
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.
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