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Portfolio Decarbonization under Incomplete Carbon and Transition Information

Féron, Olivier et al.
arXiv (All) · Papers
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mathematical-financeportfolio-management
We study dynamic portfolio decarbonization under incomplete information about firms' carbon intensities and the underlying transition state. The investor maximizes expected utility of terminal wealth net of a penalty on perceived cumulative financed emissions. Asset returns and carbon intensities de
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