Price of climate risk hedging under uncertainty
Volume: 165, Pages: 120430 - 120430
Published: Apr 1, 2021
Abstract
In this manuscript, we examine the welfare benefits of climate risk hedges and the effects of climate uncertainty on optimal portfolios with different investment horizons. We consider the case when an investor who trades in a stock market also holds a claim that pays off when an adverse climate scenario materializes. The optimal investment strategy, the price of the claim, and the cost of climate change uncertainty are derived. It is shown that...
Paper Details
Title
Price of climate risk hedging under uncertainty
Published Date
Apr 1, 2021
Volume
165
Pages
120430 - 120430
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