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Speaker: Stéphane Goutte, UMI Source, Paris-Saclay University, UVSQ, IRD, France
Title: Optimizing Investment under Risk Aversion: A Focus on Climate Risk
Abstract : Climate change presents challenges to policy and economic stability, necessitating effective trading strategies to reduce environmental risks. This article addresses gaps in existing studies by using a Markov-switching model to consider climate risk. Backward stochastic differential equations are used to optimize utility with three hedging strategies based on the concept of risk aversion. Numerical scenarios confirm the model’s superiority in incorporating exogenous events, with our risk-averse strategy outperforming classical approaches. Our strategy outperforms classical strategies by taking a flexible risk trading when investors face risk-averse behavior due to climate risk events. The findings presented in this article have important implications for the development of more resilient investment portfolios and can contribute to climate policy.
Practical informations : Our Friday Lunch Meeting will take place from 12.30 to 2.00 pm
FLMs are held in a face-to-face format in the seminar room on the 4th floor of the Palais Brongniart, 28 Place de la Bourse, 75002 Paris.
Please note that places are limited, so registration is compulsory.
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