Hedging global environment risks: An option based portfolio insurance

This paper introduces a financial hedging model for global environment risks. Our approach is based on portfolio insurance under hedging constraints. Investors are assumed to maximize their expected utilities defined on financial and environmental asset values. The optimal investment is determined for quite general utility functions and hedging constraints. In particular, our results suggest how to introduce derivative assets written on the environmental asset.

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Year of publication:	2007
Authors:	Palma, André de ; Prigent, Jean-Luc
Institutions:	Théorie Économique, Modélisation, Application (THEMA), Université de Cergy-Pontoise
Subject:	utility maximization \| hedging \| environmental asset \| martingale theory

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Extent:	application/pdf
Series:	THEMA Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2007-09
Classification:	C6 - Mathematical Methods and Programming ; G11 - Portfolio Choice ; G24 - Investment Banking; Venture Capital; Brokerage ; L10 - Market Structure, Firm Strategy, and Market Performance. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005695713