A portfolio approach to climate investments: CAPM and endogenous risk
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
- Shogren, Jason F. & Crocker, Thomas D., 1999. "Risk and Its Consequences," Journal of Environmental Economics and Management, Elsevier, vol. 37(1), pages 44-51, January.
- Martin Lettau & Sydney Ludvigson, 2001.
"Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying,"
Journal of Political Economy,
University of Chicago Press, vol. 109(6), pages 1238-1287, December.
- Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
- Martin L. Weitzman, 2001.
American Economic Review,
American Economic Association, vol. 91(1), pages 260-271, March.
- Martin L. Weitzman, 1998. "Gamma Discounting," Harvard Institute of Economic Research Working Papers 1843, Harvard - Institute of Economic Research.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Shogren, Jason F. & Crocker, Thomas D., 1991.
"Risk, self-protection, and ex ante economic value,"
Journal of Environmental Economics and Management,
Elsevier, vol. 20(1), pages 1-15, January.
- Jason F. Shogren & Thomas D. Crocker, 1990. "Risk, Self-Protection, and Ex Ante Economic Value," Center for Agricultural and Rural Development (CARD) Publications 90-wp57, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Shogren, Jason F. & Crocker, Thomas D., 1991. "Risk, Self-Protection, and Ex Ante Economic Value," Staff General Research Papers Archive 334, Iowa State University, Department of Economics.
- Sandmo, Agnar, 2000. "The Public Economics of the Environment," OUP Catalogue, Oxford University Press, number 9780198297987.
- Edward B. Barbier & Jason F. Shogren, 2004. "Growth with Endogenous Risk of Biological Invasion," Economic Inquiry, Western Economic Association International, vol. 42(4), pages 587-601, October.
- Cline, William R, 1991. "Scientific Basis for the Greenhouse Effect," Economic Journal, Royal Economic Society, vol. 101(407), pages 904-919, July.
- Marshall, John M, 1976. "Moral Hazard," American Economic Review, American Economic Association, vol. 66(5), pages 880-890, December.
- Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
- Ehrlich, Isaac & Becker, Gary S, 1972. "Market Insurance, Self-Insurance, and Self-Protection," Journal of Political Economy, University of Chicago Press, vol. 80(4), pages 623-648, July-Aug..
- Richard B. Howarth, 2003. "Discounting and Uncertainty in Climate Change Policy Analysis," Land Economics, University of Wisconsin Press, vol. 79(3), pages 369-381.
- Richard Howarth & Richard Norgaard, 1993. "Intergenerational transfers and the social discount rate," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 3(4), pages 337-358, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hjort, Ingrid, 2016. "Potential Climate Risks in Financial Markets: A Literature Overview," Memorandum 01/2016, Oslo University, Department of Economics.
- Simon Dietz & Christian Gollier & Louise Kessler, 2015.
"The climate beta,"
GRI Working Papers
190, Grantham Research Institute on Climate Change and the Environment.
- Dietz, Simon & Gollier, Christian & Kessler, Louise, 2015. "The climate beta," TSE Working Papers 15-608, Toulouse School of Economics (TSE).
- Dietz, Simon & Gollier, Christian & Kessler, Louise, 2017. "The climate beta," LSE Research Online Documents on Economics 83605, London School of Economics and Political Science, LSE Library.
- Dietz, Simon & Gollier, Christian & Kessler, Louise, 2015. "The climate beta," IDEI Working Papers 856, Institut d'Économie Industrielle (IDEI), Toulouse.
- Christian Gollier, 2012.
"Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes,"
CESifo Working Paper Series
4052, CESifo Group Munich.
- Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers 754, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2015.
- Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," LERNA Working Papers 12.28.385, LERNA, University of Toulouse.
- Martin L. Weitzman, 2013.
"Tail-Hedge Discounting and the Social Cost of Carbon,"
Journal of Economic Literature,
American Economic Association, pages 873-882.
- Weitzman, Martin L., 2013. "Tail-Hedge Discounting and the Social Cost of Carbon," Scholarly Articles 12841971, Harvard University Department of Economics.
- Gollier, Christian, 2016.
"Evaluation of long-dated assets: The role of parameter uncertainty,"
Journal of Monetary Economics,
Elsevier, pages 66-83.
- Gollier, Christian, 2012. "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers 12-361, Toulouse School of Economics (TSE), revised Sep 2015.
- Sakib Mahmud & Gazi Mainul Hassan, 2014.
"Consequences of Public Programs and Private Transfers on Household Investment in Storm Protection,"
Working Papers in Economics
14/01, University of Waikato.
- Mahmud, Sakib & Hassan, Gazi, 2014. "Consequences of Public Programs and Private Transfers on Household’s Investment in Storm Protection," MPRA Paper 60004, University Library of Munich, Germany.
- Rob Aalbers, 2013. "Optimal Discount Rates for Investments in Mitigation and Adaptation," CPB Discussion Paper 257, CPB Netherlands Bureau for Economic Policy Analysis.
- Martin L. Weitzman, 2012. "Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates," NBER Working Papers 18496, National Bureau of Economic Research, Inc.
More about this item
KeywordsCAPM; climate change; endogenous risk; climate investment; risk management; D81; G12; Q28;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- Q28 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Government Policy
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:enreec:v:37:y:2007:i:4:p:681-695. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.