Multistage Monge Kantorovich Problem applied to optimal ecological transition

Financial instability is one of the most important challenges in the transition to a low-carbon economy. Banks are encouraged to align their portfolios to CO2 trajectories fixed by international agreements, showing the necessity of a quantitative methodology to implement it. Wepropose a mathematical formulation for this problem and an optimization criterion for a transition between the current portfolio and a target one. The optimization Problem combines an Optimal Transport problem for which the cost is defined according to the financial context and a Credit Risk estimation.