Related papers: Hedging carbon risk with a network approach
This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one form of utility function such as the…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
The classical mean-variance framework characterizes portfolio risk solely through return variance and the covariance matrix, implicitly assuming that all relevant sources of risk are captured by second moments. In modern financial markets,…
This study suggests a novel two-stage Mixed-Integer Nonlinear Programming model considering uncertainty related to implementation of carbon dioxide emission regulatory policies, which are carbon trading and emission taxing and can change…
We introduce TechRank, a recursive algorithm based on a bi-partite graph with weighted nodes. We develop TechRank to link companies and technologies based on the method of reflection. We allow the algorithm to incorporate exogenous…
This study presents a deep reinforcement learning approach for global hedging of long-term financial derivatives. A similar setup as in Coleman et al. (2007) is considered with the risk management of lookback options embedded in guarantees…
This work focuses on the high carbon emissions generated by deep learning model training, specifically addressing the core challenge of balancing algorithm performance and energy consumption. It proposes an innovative two-dimensional…
This paper addresses the energy management of a grid-connected renewable generation plant coupled with a battery energy storage device in the capacity firming market, designed to promote renewable power generation facilities in small…
Since the formal introduction of its "dual-carbon" strategy in 2020, China has witnessed the concepts of green development and sustainability evolve from policy directives into a broad societal consensus. Within this transformative context,…
The retirement of unabated coal power plants, the plummeting cost of renewable energy technologies, along with more aggressive public policies and regulatory reforms, are occurring at an unprecedented speed to decarbonize the power and…
The trade off between risks and returns gives rise to multi-criteria optimisation problems that are well understood in finance, efficient frontiers being the tool to navigate their set of optimal solutions. Motivated by the recent advances…
We study how the climate transition through a low-carbon economy, implemented by carbon pricing, propagates in a credit portfolio and precisely describe how carbon price dynamics affects credit risk measures such as probability of default,…
Appropriately designed renewable support policies can play a leading role in promoting renewable expansions and contribute to low emission goals. Meanwhile, ill-designed policies may distort electricity markets, put power utilities and…
This paper examines the integration of AI's carbon footprint into the risk management frameworks (RMFs) of the banking sector, emphasising its importance in aligning with sustainability goals and regulatory requirements. As AI becomes…
Sustainability is a key point for financial markets and the label "Green" is an attempt to address this. Acquisition of the label "Green" for financial products carries potential benefits, hence the controversy and attractiveness of the…
While wind and solar power contribute to sustainability, their intermittent nature poses challenges when integrated into the grid. To mitigate these issues, renewable energy can be combined with coal fired power and hydropower sources to…
What is the best market-neutral implementation of classical Equity Factors? Should one use the specific predictability of the short-leg to build a zero beta Long-Short portfolio, in spite of the specific costs associated to shorting, or is…
As an important step to fulfill the Paris Agreement and achieve net-zero emissions by 2050, the European Commission adopted the most ambitious package of climate impact measures in April 2021 to improve the flow of capital towards…