The Impact of Climate Change Risk on Long-Term Asset Allocation
研究了一个考虑气候风险的长期跨资产组合选择框架，发现纳入气候风险后风险调整后收益下降，但股债配置变化方向取决于是否考虑气候驱动的预期收益。
The authors propose a framework for long-term cross-asset portfolio choice in which the estimation of the covariance matrix is subject to climate risk. They model the future volatility and correlation of assets as a linear function of three types of forward-looking variables: the long-term future average, climate-aware projections of economic indicators, and scenarios for the temperature anomaly. They analyze the shifts from a baseline 60/40 equity/bond allocation when taking climate risk into account. The takeaways are the following: 1) these changes are small and mostly favorable to bonds if the focus is on the estimation of risk components; 2) including climate-driven expected returns in the optimization substantially alters the compositions but to the benefit of equities; 3) in all cases, the risk-adjusted returns decrease, often significantly, when taking climate impact into account.