TY - JOUR
T1 - Carbon implications of sovereign wealth funds
AU - Andersen, Elena Vaagenes
AU - Wilts, Jakob Willem
AU - Shan, Yuli
AU - Ruzzenenti, Franco
AU - Hubacek, Klaus
N1 - Publisher Copyright:
© 2024 The Author(s). Corporate Social Responsibility and Environmental Management published by ERP Environment and John Wiley & Sons Ltd.
PY - 2024/11/21
Y1 - 2024/11/21
N2 - As of May 2022, assets under management of these funds amount to 9.91 trillion USD. Hence, sovereign wealth funds have a significant influence on the financial system due to their substantial economic value. As the current practice of portfolio management is outdated, due to a lack of relevant input factors exploring environmental, social and governance issues, the study explores two commonly used portfolio management models; the Markowitz model and the conditional value-at-risk model, and proposes a new model integrating sustainability indicators. Results indicate significant economic and environmental differences between sustainable and conventional investments for sovereign wealth funds. To ensure global progress on emission reduction, these funds should implement climate change strategies to encourage and accelerate the low-carbon transition while continuing to manage their investment portfolios.
AB - As of May 2022, assets under management of these funds amount to 9.91 trillion USD. Hence, sovereign wealth funds have a significant influence on the financial system due to their substantial economic value. As the current practice of portfolio management is outdated, due to a lack of relevant input factors exploring environmental, social and governance issues, the study explores two commonly used portfolio management models; the Markowitz model and the conditional value-at-risk model, and proposes a new model integrating sustainability indicators. Results indicate significant economic and environmental differences between sustainable and conventional investments for sovereign wealth funds. To ensure global progress on emission reduction, these funds should implement climate change strategies to encourage and accelerate the low-carbon transition while continuing to manage their investment portfolios.
KW - CO emissions
KW - Markowitz model
KW - modern portfolio theory
KW - Norway
KW - sovereign wealth fund
KW - sustainable investment
UR - http://www.scopus.com/inward/record.url?scp=85210044750&partnerID=8YFLogxK
U2 - 10.1002/csr.3040
DO - 10.1002/csr.3040
M3 - Article
AN - SCOPUS:85210044750
SN - 1535-3958
JO - Corporate Social Responsibility and Environmental Management
JF - Corporate Social Responsibility and Environmental Management
ER -