This article proposes a mean-variance optimisation and portfolio frontier analysis of energy risk management with carbon assets, introduced in January 2005 as part of the EU Emissions Trading Scheme. In a stylised exercise, we compute returns, standard deviations and correlations for various...

This article evaluates the impact of the 2006 compliance event on changes in investors' risk aversion on the European Carbon Market using the newly available option prices dataset. Thus, we aim at capturing the specific event that occurred on April 2007 as the European Commission disclosed the...

This article aims at characterizing the daily price fundamentals of European Union Allowances (EUAs) traded since 2005 as part of the Emissions Trading Scheme (ETS). The presence of two structural changes on April 2006 following the disclosure of 2005 verified emissions and on October 2006...