Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 19, 2023 erstellt
Beschreibung:
The notion of the greenhouse gas (GHG) aversion (GHGA) is introduced into the mean-variance portfolio (MVP) framework. GHGA is assumed to be a weighted sum of the portfolio holdings’ GHG emission intensities. A new portfolio performance measure, the GHGA-tilted Sharpe ratio, is offered for GHG-averse investors. While the classical Sharpe ratio may monotonically decrease with growing GHGA, the GHGA-tilted Sharpe ratio has a maximum at intermediate values of GHGA, which defines an optimal GHGA-based MVP (OGHGAP). The OGHGAP holdings represent promising investment leads for socially responsible investors who do not want to abandon the “brown” industries altogether. An example of an OGHGAP formed with the major constituents of the energy sector is discussed