Related papers: Hedging carbon risk with a network approach
We study the problem of hedging unit linked life insurance policies whose benefits depend on an investment fund that incorporates environmental criteria in its selection process. Offering these products poses two key challenges:…
Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with…
This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of G\"orgen \textsl{et al.} (2019), who proposed estimating the carbon financial risk of equities by their carbon beta. To…
Sustainable finance, which integrates environmental, social and governance (ESG) criteria on financial decisions rests on the fact that money should be used for good purposes. Thus, the financial sector is also expected to play a more…
In this article, we present a novel approach for the construction of an environment-friendly green portfolio using the ESG ratings, and application of the modern portfolio theory to present what we call as the ``green efficient frontier''…
Historically, financial risk management has mostly addressed risk factors that arise from the financial environment. Climate risks present a novel and significant challenge for companies and financial markets. Investors aiming for avoidance…
Given the increasing importance of environmental, social and governance (ESG) factors, particularly carbon emissions, we investigate optimal proportional portfolio insurance (PPI) strategies accounting for carbon footprint reduction. PPI…
Sustainable Investing identifies the approach of investors whose aim is twofold: on the one hand, they want to achieve the best compromise between portfolio risk and return, but they also want to take into account the sustainability of…
All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. Making the situation worse, they are only equipped with the imperfect information on the relevant processes. In addition to the market risk,…
Incorporating environmental, social, and governance (ESG) considerations into systematic investments has drawn numerous attention recently. In this paper, we focus on the ESG events in financial news flow and exploring the predictive power…
In this perspective, we introduce recent research into the structure and function of complex investor networks supporting sustainability efforts. Using the case of solar, wind and hydro energy technologies, this perspective explores the…
I identify a new signaling channel in ESG research by empirically examining whether environmental, social, and governance (ESG) investing remains valuable as large institutional investors increasingly shift toward artificial intelligence…
The widespread confusion among investors regarding Environmental, Social, and Governance (ESG) rankings assigned by rating agencies has underscored a critical issue in sustainable investing. To address this uncertainty, our research has…
We designed a machine learning algorithm that identifies patterns between ESG profiles and financial performances for companies in a large investment universe. The algorithm consists of regularly updated sets of rules that map regions into…
This paper proposes an expected multivariate utility analysis for ESG investors in which green stocks, brown stocks, and a market index are modeled in a one-factor, CAPM-type structure. This setting allows investors to accommodate their…
Environmental Social Governance (ESG) is a widely used metric that measures the sustainability of a company practices. Currently, ESG is determined using self-reported corporate filings, which allows companies to portray themselves in an…
Stock portfolio optimization is the process of continuous reallocation of funds to a selection of stocks. This is a particularly well-suited problem for reinforcement learning, as daily rewards are compounding and objective functions may…
Over the past years, topics ranging from climate change to human rights have seen increasing importance for investment decisions. Hence, investors (asset managers and asset owners) who wanted to incorporate these issues started to assess…
Socially responsible investors build investment portfolios intending to incite social and environmental advancement alongside a financial return. Although Mean-Variance (MV) models successfully generate the highest possible return based on…
This paper explores key theoretical frameworks instrumental in understanding the relationship between sustainability and institutional investment decisions. The study identifies and analyzes various theories, including Behavioral Finance…