气候变化领域集成服务门户(CCPortal): The Impact of Climate Change Risk on Long-Term Asset Allocation

CCPortal

	The Impact of Climate Change Risk on Long-Term Asset Allocation
	Bertrand, Jean-Charles; Coqueret, Guillaume; McLoughlin, Nicholas; Mesnard, Stephane
发表日期	2024
ISSN	0095-4918
EISSN	2168-8656
起始页码	50
结束页码	5
卷号	50 期号:5
英文摘要	The authors propose a framework for long-term cross -asset portfolio choice in which the estimation of the covariance matrix is subject to climate risk. They model the future volatility and correlation of assets as a linear function of three types of forward -looking variables: the long-term future average, climate -aware projections of economic indicators, and scenarios for the temperature anomaly. They analyze the shifts from a baseline 60/40 equity/bond allocation when taking climate risk into account. The takeaways are the following: 1) these changes are small and mostly favorable to bonds if the focus is on the estimation of risk components; 2) including climate -driven expected returns in the optimization substantially alters the compositions but to the benefit of equities; 3) in all cases, the risk -adjusted returns decrease, often significantly, when taking climate impact into account.
语种	英语
WOS研究方向	Business & Economics
WOS类目	Business, Finance
WOS记录号	WOS:001236784400009
来源期刊	JOURNAL OF PORTFOLIO MANAGEMENT
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/291410
作者单位	Hautes Etudes Commerciales (HEC) Paris; emlyon business school
推荐引用方式 GB/T 7714	Bertrand, Jean-Charles,Coqueret, Guillaume,McLoughlin, Nicholas,et al. The Impact of Climate Change Risk on Long-Term Asset Allocation[J],2024,50(5).
APA	Bertrand, Jean-Charles,Coqueret, Guillaume,McLoughlin, Nicholas,&Mesnard, Stephane.(2024).The Impact of Climate Change Risk on Long-Term Asset Allocation.JOURNAL OF PORTFOLIO MANAGEMENT,50(5).
MLA	Bertrand, Jean-Charles,et al."The Impact of Climate Change Risk on Long-Term Asset Allocation".JOURNAL OF PORTFOLIO MANAGEMENT 50.5(2024).