Théo Roncalli

University of Paris-Saclay

Avenue de la Terrasse

Gif Sur Yvette, 91198

France

SCHOLARLY PAPERS

2

DOWNLOADS

532

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Measuring and Managing Carbon Risk in Investment Portfolios

Number of pages: 58 Posted: 22 Sep 2020
University of Paris-Saclay, CREST - ENSAE, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 381 (97,547)
Citation 4

Abstract:

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Carbon, climate change, risk factor, Kalman filter, minimum variance portfolio, enhanced index portfolio, factor investing

2.

The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio

Number of pages: 15 Posted: 08 Feb 2021
University of Paris-Saclay, CREST - ENSAE, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 151 (240,996)
Citation 1

Abstract:

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carbon, climate change, risk factor, carbon beta, carbon intensity, minimum variance portfolio