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Hedging Climate Risk
Open accessAbstract
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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“Approaches used in this field include: natural language processing techniques for identifying climate risks and investment opportunities in disclosures made by companies [254,442,498,752] as well as for analyzing the evolution of climate coverage in the media to dynamically hedge climate change risk [221]; econometric approaches for developing arbitrage strategies that take advantage of the carbon”
From Tackling climate change with machine learning (2023) · cites this paper as [26]
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Metadata
- Authors
- Andersson, M., Bolton, P., & Samama, F.
- Affiliations
- Mats Andersson is CEO of AP4, Stockholm.
- National Bureau of Economic Research (US)
- Institut d'Etudes Politiques de Paris (FR)
- Corresponding author
- Bolton, Patrick
- Venue
- Financial Analysts Journal
- Publisher
- Informa UK Limited
- Published
- 2016-05
- Volume
- 72
- Issue
- 3
- Pages
- 13-32
- ISSN
- 0015-198X (ISSN-L)
- 1938-3312
- OpenAlex
- W2337695238
- Cited by
- 434
- References
- 11
- Citations by year
- 2026: 35 · 2025: 72 · 2024: 67 · 2023: 55 · 2022: 53 · 2021: 51 · 2020: 30 · 2019: 33 · 2018: 19 · 2017: 8 · 2016: 11
- FWCI
- 11.59
- Type
- journal article
- Language
- en
- Open access
- green
- doi.org
- Locations
- Financial Analysts Journal (publishedVersion)
- SSRN Electronic Journal (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Sustainable Finance and Green Bonds
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Climate Change Policy and Economics
- Keywords
- dynamic investment strategies, tracking error, carbon pricing, CO2 emissions, passive investing, climate change mitigation
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