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Publicação
Mitigating climate risk: constructing industry-specific hedging portfolios based on esg risk scores
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| 1.04 MB | Adobe PDF |
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Resumo(s)
This research aims to develop an effective strategy to hedge against climate change risk within port folios at an industry sector level. Employing a specialized Min-Max optimization methodology inte grating climate risk factors, two portfolios emerge: a diversified ESG Portfolio encompassing all S&P
500 sectors and an ESG Low Risk Portfolio, specifically targeting sectors with minimal climate risk
exposure. Data from 2001 to 2023, with a focus on critical climate risk periods (2015-2016 and 2017-
2018) have been analyzed. The study’sfindings underscore the ESG Low Risk Portfolio's long-term
effectiveness, highlighting its potential as a strategy to mitigate climate change risks within portfolios.
Descrição
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Mitigating climate risk Esg risk scores