Related papers: Hedging carbon risk with a network approach
Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe…
We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…
This paper presents a carbon-energy coupling management framework for an industrial park, where the carbon flow model accompanying multi-energy flows is adopted to track and suppress carbon emissions on the user side. To deal with the…
We study the problem of a profit maximizing electricity producer who has to pay carbon taxes and who decides on investments into technologies for the abatement of carbon emissions in an environment where carbon tax policy is random and…
Climate physical risks pose an increasing threat to urban infrastructure, necessitating urgent climate adaptation measures to protect lives and assets. Implementing such measures, including the development of resilient infrastructure and…
We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor models his fear of credit risk misspecification by…
Goal-based investing is concerned with reaching a monetary investment goal by a given finite deadline, which differs from mean-variance optimization in modern portfolio theory. In this article, we expand the close connection between…
The growing prevalence of extreme weather events driven by climate change poses significant challenges to power system resilience. Infrastructure damage and prolonged power outages highlight the urgent need for effective grid-hardening…
This study investigates the efficient strategies for supply chain network optimization, specifically aimed at reducing industrial carbon emissions. Amidst escalating concerns about global climate change, industry sectors are motivated to…
Deep learning applications at the network edge lead to a significant growth in AI-related carbon emissions, presenting a critical sustainability challenge. The existing edge computing frameworks optimize for latency and throughput, but they…
The increasing demand for Artificial Intelligence (AI) computing poses significant environmental challenges, with both operational and embodied carbon emissions becoming major contributors. This paper presents a carbon-aware holistic…
Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a robust framework for dynamic minimum-variance hedging that…
We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so…
Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of measures of risk. We formalize drawdown…
Portfolio optimization involves determining the optimal allocation of portfolio assets in order to maximize a given investment objective. Traditionally, some form of mean-variance optimization is used with the aim of maximizing returns…
The Sustainable Development Goals (SDGs) were introduced by the United Nations in order to encourage policies and activities that help guarantee human prosperity and sustainability. SDG frameworks produced in the finance industry are…
This report presents a systematic market-neutral, multi-factor investment strategy for New York Stock Exchange equities with the objective of delivering steady returns while minimizing correlation with the market. A robust feature set is…
The rapid growth of sustainable investing, now exceeding 35 trillion USD globally, has transformed financial markets, yet the implications for monetary policy transmission remain underexplored. While existing literature documents…
Electric utilities must make massive capital investments in the coming years to respond to explosive growth in demand, aging assets and rising threats from extreme weather. Utilities today already have rigorous frameworks for capital…