二氧化碳投资风险分析

IF 1.5 Q3 BUSINESS, FINANCE Journal of Asset Management Pub Date : 2024-02-24 DOI:10.1057/s41260-023-00342-z
Thomas M. Treptow
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引用次数: 0

摘要

在欧盟,拥有硬煤和褐煤发电厂的公用事业公司、制造商和排放温室气体的航空企业必须投资排放配额,才能开展业务。资本市场的买方(如对冲基金、保险公司和养老金计划)可以投资这些配额,以实现与传统市场风险投资无关的投资资产。鉴于排放配额价格的高波动性,排放配额的所有投资者都面临着具有挑战性的风险收益状况,需要进行全面的风险分析。我们的研究表明,这种分析可以利用极值理论来进行。对于所分析的极端排放配额价格收益,我们发现经验分布和理论帕累托分布之间有明显的良好拟合。我们进一步表明,排放配额是一个有趣的投资案例。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

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CO2 investment risk analysis

Utilities with hard coal and lignite power plants, manufacturers, and aviation companies in the EU that emit greenhouse gases must invest in emission allowances to run their operations. The buy side of the capital market (e.g. hedge funds, insurers, and pension plans) can invest in these allowances to realise an investment asset which is uncorrelated to traditional market-risk investments. Given the high volatility of the price of emission allowances, all investors in emission allowances face a challenging risk-return situation that requires a thorough risk analysis. We show that this analysis can be undertaken using extreme value theory. For the analysed extreme emission allowance price returns, we identified saliently good fits between the empirical and theoretical Pareto distributions. We further show that emission allowances present an interesting investment case.

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来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
期刊介绍: The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics
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