I challenge the ultra rich to put a substantial portion of their assets to work in funding large scale R&D on clean technologies, and simultaneously funding powerful lobbying of governments to act on climate change.
Another thought is that for better or worse we now have the tools for "social engineering" and campaigns might be funded to sway public opinion to support governments that support clean technologies.
I agree with your general point, but I'd add that the market is itself an artifact partly created by government.
I think it's about time we saw more change to the market itself, which requires cultural change among other things.
For example: Insulating homes was mentioned earlier. Yet, more and more people are renting homes and can't do much to improve home efficiency because that's controlled by the landlord, and "voting with your feet" is financially out of reach. Same with working much less, or not commuting: It's not a serious option to those at the less lucky end of the competitive market for essential life goods and services.
Both of those result from a certain style of capitalism, which is arguably in crisis already, and both of those can be greatly improved, even while retaining capital, when there is a widespread change of cultural pressures about basic expectations of owners and employers.
I sort of disagree; the governments might be (as usual) the crucial element of the solution - they're the only actors on this planet capable of forcing a decision on masses, even if it goes against the wishes of the market. But getting the government to do the right thing sooner rather than later - that's the hard part. Especially that nations are market players themselves, and doing the right thing in case of climate change means handicapping the whole country on the international market.
I think both the ultra rich and governments can be useful in funding more R&D on clean technologies. The goal here should be developing technologies that ultimately let you go carbon-neutral while sacrificing as little as possible compared to the old methods. Doing the right thing is painful for people, and by extension the governments, so whatever can be done to ease that pain increases the chance that the right things will start being done.