Related papers: Hedging carbon risk with a network approach
ESG-aware portfolio optimization is increasingly important for sustainable capital allocation, yet most learning-based methods still operationalize ESG by appending static scores to the policy observation or reward. This creates a mismatch…
In power markets, Green Power Purchase Agreements have become an important contractual tool of the energy transition from fossil fuels to renewable sources such as wind or solar radiation. Trading Green PPAs exposes agents to price risks…
This paper characterises optimal incentive schemes for ESG disclosure in a continuous-time principal-agent setting. We model a risk-averse principal (e.g., a platform or standard-setter) contracting with a team of heterogeneous agents whose…
Energy technologies emitting differing proportions of methane and carbon dioxide vary in their relative climate impacts over time, due to the different atmospheric lifetimes of the two gases. Standard technology comparisons using the global…
The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…
Power systems that need to integrate renewables at a large scale must account for the high levels of uncertainty introduced by these power sources. This can be accomplished with a system of many distributed grid-level storage devices.…
Environmental, Social and Governance (ESG) rating is a way for investors to prioritise investments in companies with good corporate behaviour. However, ESG ratings are vulnerable to greenwashing in a number of ways. In this paper we study…
Building on the functional-analytic framework of operator-valued kernels and un-truncated signature kernels, we propose a scalable, provably convergent signature-based algorithm for a broad class of high-dimensional, path-dependent hedging…
Owing to the potential higher energy supply efficiency and operation flexibility, integrated energy system (IES), which usually includes electric power, gas and heating/cooling systems, is considered as one of the primary forms of energy…
Using the peer-exposure ratio, we explore the factor exposure heterogeneity in green and brown stocks. By looking at peer groups of S&P 500 index firms over 2014-2020 based on their greenhouse gas emission levels, we find that, on average,…
Hydrogen and carbon dioxide transport can both play an essential role in climate-neutral energy systems. Hydrogen networks help serve regions with high energy demand, while excess emissions are transported away in carbon dioxide networks.…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
Data centers are significant contributors to carbon emissions and can strain power systems due to their high electricity consumption. To mitigate this impact and to participate in demand response programs, cloud computing companies strive…
Despite being considered a hard-to-abate sector, aviation's emissions will play an important role in long-term climate mitigation of transportation. The introduction of low-carbon energy carriers and the deployment of new aircraft in the…
This paper outlines a critical gap in the assessment methodology used to estimate the macroeconomic costs and benefits of climate policy. It shows that the vast majority of models used for assessing climate policy use assumptions about the…
A one-size-fits-all paradigm that only adapts the scale and immediate outcome of climate investment to economic circumstances will provide a short-lived, economically inadequate response to climate issues; given the limited resources…
There is growing interest in hydrogen (H$_2$) use for long-duration energy storage in a future electric grid dominated by variable renewable energy (VRE) resources. Modelling the role of H$_2$ as grid-scale energy storage, often referred as…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
Recently, environmental, social, and governance (ESG) has become an important factor in companies' sustainable development. Artificial intelligence (AI) is also a core digital technology that can create innovative, sustainable,…
This study provides a comprehensive strategic analysis of infrastructure energy investment in the context of the global low-carbon transition. Integrating quantitative panel data analysis across 15 countries (2010-2023), detailed case…