Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/270436 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
Working Paper No. 429
Verlag: 
University of Zurich, Department of Economics, Zurich
Zusammenfassung: 
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.
Schlagwörter: 
Climate change
factor model
portfolio selection
sustainable portfolio
JEL: 
C58
G11
G18
Q54
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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