Sign in to use this feature.

Years

Between: -

Subjects

remove_circle_outline
remove_circle_outline
remove_circle_outline

Journals

Article Types

Countries / Regions

Search Results (1)

Search Parameters:
Keywords = MV-OGARCH model

Order results
Result details
Results per page
Select all
Export citation of selected articles as:
13 pages, 2116 KB  
Article
The Diversification Benefits of Including Carbon Assets in Financial Portfolios
by Yinpeng Zhang, Zhixin Liu and Xueying Yu
Sustainability 2017, 9(3), 437; https://doi.org/10.3390/su9030437 - 19 Mar 2017
Cited by 31 | Viewed by 6495
Abstract
Carbon allowances traded in the EU-Emission Trading Scheme (EU-ETS) were initially designed as an economic motivation for efficiently curbing greenhouse as emissions, but now it mimics quite a few characteristics of financial assets, and have now been used as a candidate product in [...] Read more.
Carbon allowances traded in the EU-Emission Trading Scheme (EU-ETS) were initially designed as an economic motivation for efficiently curbing greenhouse as emissions, but now it mimics quite a few characteristics of financial assets, and have now been used as a candidate product in building financial portfolios. In this study, we examine the time-varying correlations between carbon allowance prices with other financial indices, during the third phase of EU-ETS. The results show that, at the beginning of this period, carbon price was still strongly corrected with other financial indices. However, this connection was weakened over time. Given the relative independence of carbon assets from other financial assets, we argue for the diversification benefits of including carbon assets in financial portfolios, and building such portfolios, respectively, with the traditional global minimum variance (GMV) strategy, the mean-variance-OGARCH (MV-OGARCH) strategy, and the dynamic conditional correlation (DCC) strategy. It is shown that the portfolio built with the MV-OGARCH strategy far out-performs the others and that including carbon assets in financial portfolios does help reduce investment risks. Full article
(This article belongs to the Section Economic and Business Aspects of Sustainability)
Show Figures

Figure 1

Back to TopTop