绿色债券的目标导向偏好：可持续投资策略模型

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling Pub Date : 2025-05-17 DOI:10.1016/j.econmod.2025.107128

An Chen , Yusha Chen , Thai Nguyen , Gazi Salah Uddin

{"title":"绿色债券的目标导向偏好：可持续投资策略模型","authors":"An Chen , Yusha Chen , Thai Nguyen , Gazi Salah Uddin","doi":"10.1016/j.econmod.2025.107128","DOIUrl":null,"url":null,"abstract":"<div><div>Addressing climate change requires a transition to low-carbon, climate-resilient investments, with green bonds gaining traction among institutional investors focused on sustainability objectives. This study models their decision-making by integrating green investment targets into utility functions, combining a constant relative risk aversion (CRRA) component with a goal-oriented utility modification. Employing a Lagrangian approach, we derive the optimal terminal wealth and portfolio composition, including green bond allocation. Contrary to common intuition, more ambitious green investment targets do not always yield greater green bond allocations. The outcome significantly hinges on investors’ risk aversion. This intricate interaction between risk aversion and goal-oriented utility reveals the complexity of green investment decisions.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"150 ","pages":"Article 107128"},"PeriodicalIF":4.2000,"publicationDate":"2025-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Goal-oriented preferences for green bonds: A model of sustainable investment strategies\",\"authors\":\"An Chen , Yusha Chen , Thai Nguyen , Gazi Salah Uddin\",\"doi\":\"10.1016/j.econmod.2025.107128\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Addressing climate change requires a transition to low-carbon, climate-resilient investments, with green bonds gaining traction among institutional investors focused on sustainability objectives. This study models their decision-making by integrating green investment targets into utility functions, combining a constant relative risk aversion (CRRA) component with a goal-oriented utility modification. Employing a Lagrangian approach, we derive the optimal terminal wealth and portfolio composition, including green bond allocation. Contrary to common intuition, more ambitious green investment targets do not always yield greater green bond allocations. The outcome significantly hinges on investors’ risk aversion. This intricate interaction between risk aversion and goal-oriented utility reveals the complexity of green investment decisions.</div></div>\",\"PeriodicalId\":48419,\"journal\":{\"name\":\"Economic Modelling\",\"volume\":\"150 \",\"pages\":\"Article 107128\"},\"PeriodicalIF\":4.2000,\"publicationDate\":\"2025-05-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economic Modelling\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0264999325001233\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Modelling","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0264999325001233","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}

引用次数: 0

摘要

应对气候变化需要向低碳、气候适应型投资转型，绿色债券受到关注可持续发展目标的机构投资者的青睐。本研究将绿色投资目标与效用函数相结合，将恒定相对风险规避（CRRA）成分与目标导向效用修正相结合，建立绿色投资决策模型。采用拉格朗日方法，我们得到了最优的终端财富和投资组合组成，包括绿色债券配置。与普遍的直觉相反，更雄心勃勃的绿色投资目标并不总能带来更多的绿色债券配置。结果在很大程度上取决于投资者的风险厌恶程度。风险规避和目标导向效用之间错综复杂的相互作用揭示了绿色投资决策的复杂性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Goal-oriented preferences for green bonds: A model of sustainable investment strategies

Addressing climate change requires a transition to low-carbon, climate-resilient investments, with green bonds gaining traction among institutional investors focused on sustainability objectives. This study models their decision-making by integrating green investment targets into utility functions, combining a constant relative risk aversion (CRRA) component with a goal-oriented utility modification. Employing a Lagrangian approach, we derive the optimal terminal wealth and portfolio composition, including green bond allocation. Contrary to common intuition, more ambitious green investment targets do not always yield greater green bond allocations. The outcome significantly hinges on investors’ risk aversion. This intricate interaction between risk aversion and goal-oriented utility reveals the complexity of green investment decisions.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Economic Modelling ECONOMICS-

CiteScore

8.00

自引率

10.60%

发文量

295

期刊介绍： Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.