Optimal investment portfolio and carbon emissions under climate risk ambiguity aversion
研究了在气候风险模糊厌恶下，棕色和绿色投资者的最优投资组合，以及资本配置对企业碳排放的约束机制，发现投资者模糊厌恶对排放有非线性影响，绿色投资者增加会显著降低排放。
We derive the optimal investment portfolios of brown and green investors under the context of climate risk ambiguity aversion and calculate the equilibrium asset prices influenced by these portfolios, thereby uncovering the constraining mechanisms of capital allocation on firms’ carbon emission behaviours. The study shows that, under fixed quantities of risky assets, increasing levels of investors’ ambiguity aversion exhibit a nonlinear effect on firms’ greenhouse gas emissions, initially suppressing but later promoting them. Furthermore, as the proportion of green investors increases and their sensitivity to climate externalities strengthens, firms’ emissions significantly decrease. By utilising the annual Climate Physical Risk Index (CPRI) across multiple countries, the study comprehensively captures the impact of global climate risks on market assets. The findings indicate that green stocks are more susceptible to pronounced market shocks during tail risk events. Additionally, under policy constraints, firms facing higher environmental disclosure pressures receive further incentives to reduce carbon emissions.