Factor Mimicking Portfolios for Climate Risk
نویسندگان
چکیده
منابع مشابه
Mimicking Portfolios
Mimicking portfolios have many applications in the practice of finance. Here, we present a new method for constructing them. We illustrate its application by creating portfolios that mimic individual NYSE stocks. On the construction date, a mimicking portfolio exactly matches its target stock’s exposures (betas) to a set of ETFs, which serve as proxies for global factors, and the portfolio has ...
متن کاملMimicking Portfolios with Conditioning Information
Mimicking portfolios have long been useful in asset pricing research. In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of the economic state. This paper derives and characterizes mimicking portfolios in the presence of predetermined state variables, or conditioning information. The results generalize and integrate mul...
متن کاملA Multi-factor model for the Risk Management of Portfolios
A b stra c t We propose a methodology for modelling the value at risk of a complex portfolio, based on an extension of the Ho, Stapleton and Subrahmanyam technique. We model the variance-covariance structure of up to seven variables. These could represent four country indices and three exchange rates, for example. In addition, the e®ect of an arbitrary number of orthogonal factors can be analys...
متن کاملClimate as a Risk Factor for Tourism
Weather and climate risk factors for tourism are surveyed and illustrated with regard to the expected climate changes in Hungary. These changes are not at all advantageous and which affect the business in question both directly and indirectly. These are the summer resort tourism (characterised by bioclimatic indices). Green tourism is the next one to characterise, including skiing, mountain cli...
متن کاملA new methodology for deriving the efficient frontier of stocks portfolios: An advanced risk-return model
In this paper after a general literature review on the concept of Efficient Frontier (EF), an important inadequacy of the Variance based models for deriving EFs and the high necessity for applying another risk measure is exemplified. In this regard for this study the risk measure of Lower Partial Moment of the first order is decided to replace Variance. Because of the particular shape of the pr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2023
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.4388326