Publication
Mitigating climate risk: constructing industry-specific hedging portfolios based on esg risk scores
| Summary: | 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. |
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| Main Authors: | Haeusler, Tamara Sabrina |
| Subject: | Mitigating climate risk Esg risk scores |
| Year: | 2023 |
| Country: | Portugal |
| Document type: | master thesis |
| Access type: | open access |
| Associated institution: | Universidade Nova de Lisboa |
| Language: | English |
| Origin: | Repositório Institucional da UNL |
| Summary: | 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. |
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