Regime switches and optimal asset allocation in climate finance and insurance

• Applicants: Professorin Dr. Nicole Branger; Professorin Dr. Antje Mahayni
• Subject Area: Accounting and Finance ; Mathematics
• Term: since 2025
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 509303834

In this project, we focus on the specific use of regime switching (RS) models to analyze the implications of regulatory uncertainty for both asset allocation and the efficiency of the objective of the regulator in climate finance and insurance. The project consists of three parts. The first part is dedicated to mathematical model setups of asset allocation problems which are stylized to capture the basic impacts of regulatory decisions. The main focus of the second part concerns the value of different information structures and the optimal release of regulatory information. The third part accounts for additional regime switches in regulatory risk constraints which are imposed on the optimization problems of the investors.

• DFG Programme: Research Units
• Subproject of: FOR 5583: Asset allocation and asset pricing in regulated markets and institutions
• Co-Investigators: Professorin Dr. Nicole Bäuerle; Professorin Dr. An Chen