Factor-mimicking portfolios for climate risk

Gespeichert in:

Autor*in:	De Nard, Gianluca - 1991- [verfasserIn] Engle, Robert F. - 1942- [verfasserIn] Kelly, Bryan T. [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2024

Schlagwörter:	climate change factor model portfolio selection sustainable portfolio

Übergeordnetes Werk:	Enthalten in: Financial analysts journal - [Abingdon] : Routledge, Taylor and Francis Group, 1960, 80(2024), 3, Seite 37-58
Übergeordnetes Werk:	volume:80 ; year:2024 ; number:3 ; pages:37-58

Links:	Link aufrufen Link aufrufen

DOI / URN:	10.1080/0015198X.2024.2332164

Katalog-ID:	1899879528

Internformat


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982			\|2 26 \|1 00 \|x DE-206 \|b We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor-mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum correlation approaches by taking into account new methodologies of estimating large-dimensional covariance matrices in short samples. In an extensive empirical out-of-sample performance test, we demonstrate the superior all-around performance delivering markedly higher and statistically significant alphas and betas with the climate risk indices.

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allfields	10.1080/0015198X.2024.2332164 doi (DE-627)1899879528 (DE-599)KXP1899879528 DE-627 ger DE-627 rda eng De Nard, Gianluca 1991- verfasserin (DE-588)1162705590 (DE-627)1026876176 (DE-576)507582861 aut Factor-mimicking portfolios for climate risk Gianluca De Nard, Robert F. Engle, and Bryan Kelly 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier climate change (dpeaa)DE-206 factor model (dpeaa)DE-206 portfolio selection (dpeaa)DE-206 sustainable portfolio (dpeaa)DE-206 Engle, Robert F. 1942- verfasserin (DE-588)128388528 (DE-627)372632610 (DE-576)297116754 aut Kelly, Bryan T. verfasserin (DE-588)1013684257 (DE-627)664470386 (DE-576)347544037 aut Enthalten in Financial analysts journal [Abingdon] : Routledge, Taylor and Francis Group, 1960 80(2024), 3, Seite 37-58 Online-Ressource (DE-627)340878940 (DE-600)2066328-6 (DE-576)098134493 1938-3312 nnns volume:80 year:2024 number:3 pages:37-58 https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2024.2332164 Verlag kostenfrei https://doi.org/10.1080/0015198X.2024.2332164 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_39 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_100 GBV_ILN_110 GBV_ILN_120 GBV_ILN_151 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_374 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_2937 GBV_ILN_2941 GBV_ILN_2949 GBV_ILN_2950 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4346 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 80 2024 3 37-58 26 01 0206 457169587X x1z 28-08-24 2403 01 DE-LFER 4575989991 00 --%%-- --%%-- n --%%-- l01 04-09-24 2403 01 DE-LFER https://doi.org/10.1080/0015198X.2024.2332164 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2024.2332164 26 00 DE-206 We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor-mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum correlation approaches by taking into account new methodologies of estimating large-dimensional covariance matrices in short samples. In an extensive empirical out-of-sample performance test, we demonstrate the superior all-around performance delivering markedly higher and statistically significant alphas and betas with the climate risk indices.
spelling	10.1080/0015198X.2024.2332164 doi (DE-627)1899879528 (DE-599)KXP1899879528 DE-627 ger DE-627 rda eng De Nard, Gianluca 1991- verfasserin (DE-588)1162705590 (DE-627)1026876176 (DE-576)507582861 aut Factor-mimicking portfolios for climate risk Gianluca De Nard, Robert F. Engle, and Bryan Kelly 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier climate change (dpeaa)DE-206 factor model (dpeaa)DE-206 portfolio selection (dpeaa)DE-206 sustainable portfolio (dpeaa)DE-206 Engle, Robert F. 1942- verfasserin (DE-588)128388528 (DE-627)372632610 (DE-576)297116754 aut Kelly, Bryan T. verfasserin (DE-588)1013684257 (DE-627)664470386 (DE-576)347544037 aut Enthalten in Financial analysts journal [Abingdon] : Routledge, Taylor and Francis Group, 1960 80(2024), 3, Seite 37-58 Online-Ressource (DE-627)340878940 (DE-600)2066328-6 (DE-576)098134493 1938-3312 nnns volume:80 year:2024 number:3 pages:37-58 https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2024.2332164 Verlag kostenfrei https://doi.org/10.1080/0015198X.2024.2332164 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_39 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_100 GBV_ILN_110 GBV_ILN_120 GBV_ILN_151 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_374 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_2937 GBV_ILN_2941 GBV_ILN_2949 GBV_ILN_2950 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4346 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 80 2024 3 37-58 26 01 0206 457169587X x1z 28-08-24 2403 01 DE-LFER 4575989991 00 --%%-- --%%-- n --%%-- l01 04-09-24 2403 01 DE-LFER https://doi.org/10.1080/0015198X.2024.2332164 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2024.2332164 26 00 DE-206 We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor-mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum correlation approaches by taking into account new methodologies of estimating large-dimensional covariance matrices in short samples. In an extensive empirical out-of-sample performance test, we demonstrate the superior all-around performance delivering markedly higher and statistically significant alphas and betas with the climate risk indices.
allfields_unstemmed	10.1080/0015198X.2024.2332164 doi (DE-627)1899879528 (DE-599)KXP1899879528 DE-627 ger DE-627 rda eng De Nard, Gianluca 1991- verfasserin (DE-588)1162705590 (DE-627)1026876176 (DE-576)507582861 aut Factor-mimicking portfolios for climate risk Gianluca De Nard, Robert F. Engle, and Bryan Kelly 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier climate change (dpeaa)DE-206 factor model (dpeaa)DE-206 portfolio selection (dpeaa)DE-206 sustainable portfolio (dpeaa)DE-206 Engle, Robert F. 1942- verfasserin (DE-588)128388528 (DE-627)372632610 (DE-576)297116754 aut Kelly, Bryan T. verfasserin (DE-588)1013684257 (DE-627)664470386 (DE-576)347544037 aut Enthalten in Financial analysts journal [Abingdon] : Routledge, Taylor and Francis Group, 1960 80(2024), 3, Seite 37-58 Online-Ressource (DE-627)340878940 (DE-600)2066328-6 (DE-576)098134493 1938-3312 nnns volume:80 year:2024 number:3 pages:37-58 https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2024.2332164 Verlag kostenfrei https://doi.org/10.1080/0015198X.2024.2332164 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_39 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_100 GBV_ILN_110 GBV_ILN_120 GBV_ILN_151 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_374 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_2937 GBV_ILN_2941 GBV_ILN_2949 GBV_ILN_2950 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4346 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 80 2024 3 37-58 26 01 0206 457169587X x1z 28-08-24 2403 01 DE-LFER 4575989991 00 --%%-- --%%-- n --%%-- l01 04-09-24 2403 01 DE-LFER https://doi.org/10.1080/0015198X.2024.2332164 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2024.2332164 26 00 DE-206 We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor-mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum correlation approaches by taking into account new methodologies of estimating large-dimensional covariance matrices in short samples. In an extensive empirical out-of-sample performance test, we demonstrate the superior all-around performance delivering markedly higher and statistically significant alphas and betas with the climate risk indices.
allfieldsGer	10.1080/0015198X.2024.2332164 doi (DE-627)1899879528 (DE-599)KXP1899879528 DE-627 ger DE-627 rda eng De Nard, Gianluca 1991- verfasserin (DE-588)1162705590 (DE-627)1026876176 (DE-576)507582861 aut Factor-mimicking portfolios for climate risk Gianluca De Nard, Robert F. Engle, and Bryan Kelly 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier climate change (dpeaa)DE-206 factor model (dpeaa)DE-206 portfolio selection (dpeaa)DE-206 sustainable portfolio (dpeaa)DE-206 Engle, Robert F. 1942- verfasserin (DE-588)128388528 (DE-627)372632610 (DE-576)297116754 aut Kelly, Bryan T. verfasserin (DE-588)1013684257 (DE-627)664470386 (DE-576)347544037 aut Enthalten in Financial analysts journal [Abingdon] : Routledge, Taylor and Francis Group, 1960 80(2024), 3, Seite 37-58 Online-Ressource (DE-627)340878940 (DE-600)2066328-6 (DE-576)098134493 1938-3312 nnns volume:80 year:2024 number:3 pages:37-58 https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2024.2332164 Verlag kostenfrei https://doi.org/10.1080/0015198X.2024.2332164 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_39 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_100 GBV_ILN_110 GBV_ILN_120 GBV_ILN_151 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_374 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_2937 GBV_ILN_2941 GBV_ILN_2949 GBV_ILN_2950 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4346 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 80 2024 3 37-58 26 01 0206 457169587X x1z 28-08-24 2403 01 DE-LFER 4575989991 00 --%%-- --%%-- n --%%-- l01 04-09-24 2403 01 DE-LFER https://doi.org/10.1080/0015198X.2024.2332164 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2024.2332164 26 00 DE-206 We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor-mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum correlation approaches by taking into account new methodologies of estimating large-dimensional covariance matrices in short samples. In an extensive empirical out-of-sample performance test, we demonstrate the superior all-around performance delivering markedly higher and statistically significant alphas and betas with the climate risk indices.
allfieldsSound	10.1080/0015198X.2024.2332164 doi (DE-627)1899879528 (DE-599)KXP1899879528 DE-627 ger DE-627 rda eng De Nard, Gianluca 1991- verfasserin (DE-588)1162705590 (DE-627)1026876176 (DE-576)507582861 aut Factor-mimicking portfolios for climate risk Gianluca De Nard, Robert F. Engle, and Bryan Kelly 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier climate change (dpeaa)DE-206 factor model (dpeaa)DE-206 portfolio selection (dpeaa)DE-206 sustainable portfolio (dpeaa)DE-206 Engle, Robert F. 1942- verfasserin (DE-588)128388528 (DE-627)372632610 (DE-576)297116754 aut Kelly, Bryan T. verfasserin (DE-588)1013684257 (DE-627)664470386 (DE-576)347544037 aut Enthalten in Financial analysts journal [Abingdon] : Routledge, Taylor and Francis Group, 1960 80(2024), 3, Seite 37-58 Online-Ressource (DE-627)340878940 (DE-600)2066328-6 (DE-576)098134493 1938-3312 nnns volume:80 year:2024 number:3 pages:37-58 https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2024.2332164 Verlag kostenfrei https://doi.org/10.1080/0015198X.2024.2332164 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_39 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_100 GBV_ILN_110 GBV_ILN_120 GBV_ILN_151 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_374 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_2937 GBV_ILN_2941 GBV_ILN_2949 GBV_ILN_2950 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4346 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 80 2024 3 37-58 26 01 0206 457169587X x1z 28-08-24 2403 01 DE-LFER 4575989991 00 --%%-- --%%-- n --%%-- l01 04-09-24 2403 01 DE-LFER https://doi.org/10.1080/0015198X.2024.2332164 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2024.2332164 26 00 DE-206 We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor-mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum correlation approaches by taking into account new methodologies of estimating large-dimensional covariance matrices in short samples. In an extensive empirical out-of-sample performance test, we demonstrate the superior all-around performance delivering markedly higher and statistically significant alphas and betas with the climate risk indices.
language	English
source	Enthalten in Financial analysts journal 80(2024), 3, Seite 37-58 volume:80 year:2024 number:3 pages:37-58
sourceStr	Enthalten in Financial analysts journal 80(2024), 3, Seite 37-58 volume:80 year:2024 number:3 pages:37-58
format_phy_str_mv	Article
building	26:1 2403:0
institution	findex.gbv.de
selectbib_iln_str_mv	26@1z 2403@01
topic_facet	climate change factor model portfolio selection sustainable portfolio
sw_local_iln_str_mv	26: DE-206:
isfreeaccess_bool	true
container_title	Financial analysts journal
authorswithroles_txt_mv	De Nard, Gianluca @@aut@@ Engle, Robert F. @@aut@@ Kelly, Bryan T. @@aut@@
publishDateDaySort_date	2024-01-01T00:00:00Z
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language_de	englisch
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author	De Nard, Gianluca 1991-
spellingShingle	De Nard, Gianluca 1991- misc climate change misc factor model misc portfolio selection misc sustainable portfolio Factor-mimicking portfolios for climate risk
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topic_title	26 00 DE-206 We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor-mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum correlation approaches by taking into account new methodologies of estimating large-dimensional covariance matrices in short samples. In an extensive empirical out-of-sample performance test, we demonstrate the superior all-around performance delivering markedly higher and statistically significant alphas and betas with the climate risk indices Factor-mimicking portfolios for climate risk Gianluca De Nard, Robert F. Engle, and Bryan Kelly climate change (dpeaa)DE-206 factor model (dpeaa)DE-206 portfolio selection (dpeaa)DE-206 sustainable portfolio (dpeaa)DE-206
topic	misc climate change misc factor model misc portfolio selection misc sustainable portfolio
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title_full	Factor-mimicking portfolios for climate risk Gianluca De Nard, Robert F. Engle, and Bryan Kelly
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First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor-mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum correlation approaches by taking into account new methodologies of estimating large-dimensional covariance matrices in short samples. In an extensive empirical out-of-sample performance test, we demonstrate the superior all-around performance delivering markedly higher and statistically significant alphas and betas with the climate risk indices.</subfield></datafield></record></collection>
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