Measuring and Optimizing the Risk and Reward of Green Portfolios

Andrew W. Lo, Ruixun Zhang, Chaoyi Zhao

2022 | Academic | Greenium, Portfolio Construction, Risk & Performance

We study the performance of green portfolios in both the US and Chinese markets, constructed using a broad range of climate-related environmental metrics, including carbon emissions, water consumption, waste disposal, land and water pollutants, air pollutants, and natural resource use.