EconPapers    
Economics at your fingertips  
 

Energy Risk Management with Carbon Assets

Julien Chevallier

Working Papers from HAL

Abstract: This article proposes a mean-variance optimization and portfolio frontier analysis of energy risk management with carbon assets, introduced in January 2005 as part of the EU Emissions Trading Scheme. In a stylized exercise, we compute returns, standard deviations and correlations for various asset classes from April 2005 to January 2009. Our central result features an expected return of 3% with a standard deviation

Keywords: Mean-variance optimization; Portfolio frontier analysis; CAPM; CO2; Carbon; Energy; Bonds; Equity; Asset Management; EU ETS; CERs (search for similar items in EconPapers)
Date: 2009-08-16
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00410059
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://shs.hal.science/halshs-00410059/document (application/pdf)

Related works:
Journal Article: Energy risk management with carbon assets (2009) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-00410059

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2025-03-19
Handle: RePEc:hal:wpaper:halshs-00410059