Abstract: Computerized systems and methods construct low carbon indexes achieve a target level of tracking error relative to a broad market, Parent Index, while minimizing carbon exposure. The indexes can address two dimensions of carbon exposure—carbon emissions and fossil fuel reserves. By overweighting or selecting companies with low carbon emissions relative to sales and those with low potential carbon emissions per dollar of market capitalization, the indexes can reflect a lower carbon exposure that that of the broad market.
Abstract: Computer-based systems and methods are disclosed that generally relate to risk modeling for investment portfolios, such as equity investment portfolios. For example, a factor covariance matrix for a particular investment portfolio can be adjusted for known biases, including non-stationarity bias and optimization bias. In addition, new techniques for computing specific volatilities and relative specific volatilities for assets in a particular investment portfolio are disclosed.
© 2025 Justia
