arbiter
JournalsPricingAccount

The impact of greenhouse gas aversion on optimal portfolios

Anatoly B. Schmidt

Journal of Energy Markets2024https://doi.org/10.21314/jem.2024.007article
AJG 1
Weight
0.30

What the paper says

In this paper, the notion of greenhouse gas aversion (GHGA) is introduced into the mean–variance portfolio framework. GHGA is assumed to be a weighted sum of the portfolio holdings' greenhouse gas emission intensities. A new portfolio performance measure, the GHGA-tilted Sharpe ratio, is offered for greenhouse-gas-averse investors. While the classical Sharpe ratio may monotonically decrease with growing GHGA, the GHGA-tilted Sharpe ratio has a maximum at intermediate values of GHGA, defining an optimal GHGA-based mean–variance portfolio. The main holdings of such a portfolio represent promising investment leads for socially responsible investors who do not want to abandon the "brown" industries altogether. An example of a GHGA-based mean–variance portfolio formed with the major constituents of the energy sector is discussed.

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.21314/jem.2024.007

Or copy a formatted citation

@article{anatoly2024,
  title        = {{The impact of greenhouse gas aversion on optimal portfolios}},
  author       = {Anatoly B. Schmidt},
  journal      = {Journal of Energy Markets},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.21314/jem.2024.007},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

The impact of greenhouse gas aversion on optimal portfolios

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.30

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.