台灣50成分股之淨零碳排放目標投資組合設計

Abstract

本研究針對臺灣市值前50大上市公司，建構符合1.5°C減碳路徑的低碳投資組合。透過三種方法預測2024年企業範疇一與二碳排放，並以非線性規劃模型求解投組權重，在兼顧與台灣50報酬指數的追蹤誤差的情況下，實現投組年度減碳4%目標。本研究發現企業在永續報告書中揭露的減碳路徑最適合作為建議投組時預測該年度碳排量的方式，根據此預測方式所建立的投組在2024和2025年分別減碳4%下，追蹤誤差為4.08%，兼顧業界對於投組績效偏離標竿指數的容忍程度與減碳。

This study focuses on the top 50 listed companies by market capitalization in Taiwan, constructing a low-carbon investment portfolio aligned with a 1.5°C decarbonization pathway. Three methods are employed to forecast corporate Scope 1 and Scope 2 carbon emissions for 2024, and a nonlinear programming model is used to determine portfolio weights. This approach achieves an annual portfolio decarbonization target of 4% while managing tracking error relative to the Taiwan 50 Index. The study finds that the decarbonization pathways disclosed in corporate sustainability reports are the most suitable for predicting annual carbon emissions when recommending investment portfolios. Based on this prediction method, the resulting portfolio achieves a 4% decarbonization in both 2024 and 2025, with a tracking error of 4.08%, balancing industry tolerance for performance deviation from the benchmark index with decarbonization goals.