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A portfolio approach to climate investments: CAPM and endogenous risk

机译：气候投资的投资组合方法：CAPM和内生风险

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Is there a role for investments in climate change mitigation despite low expected return? We use a model of intertemporal expected utility maximisation to analyse this question. Similar to the capital asset pricing model (CAPM) the rate of return depends on the correlation of risk between the return on investments in climate change mitigation and the market portfolio, but in contrast to the classical CAPM we admit the fact that economic and environmental systems are jointly determined, implying that environmental risk is endogenous. Therefore, investments in climate change mitigation may reduce risk via self-protection and self-insurance. If risk reduction is accounted for in cost-benefit evaluations, climate investments may be justified despite low expected return. These aspects of climate investments are not, however, communicated via standard cost-benefit analyses of climate policy. Optimal climate policy may therefore be more ambitious than previously considered.
机译：尽管期望收益很低，但减缓气候变化的投资是否有作用？我们使用跨期期望效用最大化模型来分析此问题。与资本资产定价模型（CAPM）相似，收益率取决于缓解气候变化的投资收益与市场投资组合之间的风险相关性，但与经典的CAPM相反，我们承认经济和环境系统是共同确定的，这意味着环境风险是内生的。因此，对减缓气候变化的投资可以通过自我保护和自我保险来降低风险。如果在成本效益评估中考虑到降低风险，那么尽管预期收益很低，但气候投资仍是合理的。但是，气候投资的这些方面并未通过标准的气候政策成本效益分析来传达。因此，最佳气候政策可能比以前考虑的更为雄心勃勃。

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