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Reducing the Carbon Footprint of Equity Portfolios

Sammanfattning
This paper investigates the e ect of reducing the carbon footprint of Swedish equity portfolios. In order to decrease CO2e emission of investments, the constituents of the portfolios are re-weighted with regards to their carbon footprint, while minimizing the tracking error against a benchmark portfolio. The study provides insight to whether it is possible to construct portfolios with lower CO2e in a limited investment environment. Our ndings show that we can decrease carbon footprint by 25% without altering the portfolios' sector exposure or su ering loss of returns. The optimization incorporates a recently proposed Swedish national standard for calculating portfolio footprint as well as a calculation of how much an investor contributes to emission when investing 1000 SEK a month for ten years in each of the portfolios.
Examinationsnivå
Master 2-years
Övrig beskrivning
MSc in Finance
URL:
http://hdl.handle.net/2077/53121
Samlingar
  • Master theses
Fil(er)
gupea_2077_53121_1.pdf (1.214Mb)
Datum
2017-07-26
Författare
Jonsdottir, Harpa Sif
Palmelind, Sheida
Nyckelord
Portfolio Optimization
Carbon Footprint
Tracking Error
Sustainable Investments
Factor Analysis
Climate Risk
Green Finance
Swedish Equities
Serie/rapportnr.
Master Degree Project
2017:155
Språk
eng
Metadata
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