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By Renato Marques da Silva and Flavia Zoboli Dalmacio


With an odd pricing in the market, the Future Carbon Credit can act as mitigating risk when added to investment portfolios, ceasing to be simple positive socio-environmental assets to bring real benefits to the strategy of the Portfolio. It can be noticed that, in fact, to introduce Carbon Credit Futures can reduce the value at risk of investment portfolios however it should be a concern to balance what is the optimal amount of futures contracts inserted in the portfolio in order to not take positions that would make the portfolio less efficient. It was used a theoretical portfolio of USD 1000.00, so that the participation of Carbon Credit Futures positions varied between 100% short position and 100% long position in the portfolio and, for each 1% change in participation of EUA futures, it was created a hypothetical portfolio, with its expected return, market risk and modified Sharpe ratio. This study found that there are financial advantages by introducing Future Carbon Credit in investment portfolios when it analyzes risk versus return of portfolios composed of these assets.

Topics: Carbon Credit, Market Risk, Viability, Investment portfolios
Publisher: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto
Year: 2015
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