Under the"Deuble Carbon"target,investors'perceptions of carbon risk are increasing.In order to cope with the challenge of carbon risk management and explore more abundant green portfolio strategies,green portfolio strategies are designed to hedge carbon risks.Based on diversified investment idea,the strategies not only invest in benchmark portfolio,but also invest in green assets(carbon risk hedging instruments)to mitigate potential losses that may occur when carbon risk is high.Specifically,the strategies take carbon risk indicator as timing basis,and apply both the 1/N and MV model to allocate weights between the benchmark portfolio and green assets.In out-of-sample empirical analysis,the investment performance of hedging investment strategies is evaluated containing either single or multiple green assets for both passive and active investors.The results indicate that,green bonds are effective financial instruments for hedging carbon risk.Compared to green equities,investment strategies that include green bonds consistently demonstrate superior investment performance.Among the proposed hedging investment strategies,the MV model-based strategies prove most effective.They allocate majority of funds to green bonds when carbon risk is high,which often turns potential losses into gains,resulting in better long-term investment performance.
portfoliogreen assetscarbon risk hedgingDCC-GARCH model
万方数据
维普
