Much of the genetic that link coat color to genes is still Unknown.

http://en.wikipedia.org/wiki/Mammal

One final mechanism for coat color variation is physiological response purposes, such as temperature regulation in tropical or arctic environments.Although much has been observed about color variation, much of the genetic that link coat color to genes is still unknown. The genetic sites where pigmentation genes are found are known to affect phenotype by: 1) altering the spatial distribution of pigmentation of the hairs, and 2) altering the density and distribution of the hairs. Quantitative trait mapping is being used to better understand the distribution of loci responsible for pigmentation variation.However, although the genetic sites are known, there is still much to learn about how these genes are expressed.

Some primates and marsupials have shades of violet, green, or blue skin on parts of their bodies. The two-toed sloth and the polar bear sometimes appear to have green fur, but this color is caused by algal growths.