PhD candidate Amsterdam School of Economics
The Amsterdam School of Economics (ASE) has a vacancy for a fully-funded PhD candidate in the field of Pricing climate risks in portfolios of pension funds and other institutional investors.
There is a strong trend among large institutional investors, such as large pension funds, to reduce investments in activities with a large environmental burden. Existing empirical evidence suggests that such a strategy does not come at the cost of a worse risk-return trade-off of the investment portfolio. For example, it is possible to design portfolios with a low carbon content that exhibit hardly any difference in performance when compared with the performance of portfolios that are unrestricted in their carbon content. In fact, there is a danger that carbon-intensive assets become stranded or that carbon emissions will get priced around the world, in which case portfolios that are low on carbon will start to outperform portfolios that are unrestricted in carbon. This project explores from both a theoretical and empirical viewpoint the optimal (dynamic) design of investment portfolios in the presence of climate risk. Important aspects are tail risks such as macroeconomic catastrophes caused by climate change, the intensity and the timing of climate change, and the impact of policy responses to climate change on financial markets.
This job comes from a partnership with Science Magazine and