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Energy Risk Management with Carbon Assets

Julien Chevallier

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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://halshs.archives-ouvertes.fr/halshs-00410059
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