Related papers: Hedging carbon risk with a network approach
We develop a computational framework for deriving Pareto-improving and constrained optimal carbon tax rules in a stochastic overlapping generations (OLG) model with climate change. By integrating Deep Equilibrium Networks for fast policy…
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To derive the optimal investment strategy, we use the dynamic…
This paper introduces a novel approach to financial risk analysis that does not rely on traditional price and market data, instead using market news to model assets as distributions over a metric space of risk factors. By representing asset…
As a core policy tool for China in addressing climate risks, green finance plays a strategically important role in shaping carbon mitigation outcomes. This study investigates the nonlinear and interaction effects of green finance on carbon…
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…
This paper takes the graph neural network as the technical framework, integrates the intrinsic connections between enterprise financial indicators, and proposes a model for enterprise credit risk assessment. The main research work includes:…
The integration of renewable energy resources (RES) in the power grid can reduce carbon intensity, but also presents certain challenges. The uncertainty and intermittent nature of RES emphasize the need for flexibility in power systems.…
Extreme volatility, nonlinear dependencies, and systemic fragility are characteristics of cryptocurrency markets. The assumptions of normality and centralized control in traditional financial risk models frequently cause them to miss these…
This work studies the dynamic risk management of the risk-neutral value of the potential credit losses on a portfolio of derivatives. Sensitivities-based hedging of such liability is sub-optimal because of bid-ask costs, pricing models…
Cost optimal scenarios derived from models of a highly renewable electricity system depend on the specific input data, cost assumptions and system constraints. Here this influence is studied using a techno-economic optimisation model for a…
This article proposes a fundamental methodological shift in the modelling of policy interventions for sustainability transitions in order to account for complexity (e.g. self-reinforcing mechanism arising from multi-agent interactions) and…
Averting the effects of anthropogenic climate change requires a transition from fossil fuels to low-carbon technology. A way to achieve this is to decarbonize the electricity grid. However, further efforts must be made in other fields such…
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a non-tradable index. The correlation…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
Portfolio selection is the central task for assets management, but it turns out to be very challenging. Methods based on pattern matching, particularly the CORN-K algorithm, have achieved promising performance on several stock markets. A…
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…
In order to reach EU's goal of zero emissions in 2050, the energy system will go through a significant transition over the next decades. To substitute fossil energy carriers, renewable energy sources will be mainly integrated in the power…
A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios were introduced, namely "Fundamental Maximum Variance…
The analysis of determinants of a company's financial performance has aroused significant attention, particularly, the environmental, social, and governance (ESG) has been the research focus in recent years. In addition to increasing…
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…