Related papers: Natural Asset Beta
Identifying meaningful relationships between the price movements of financial assets is a challenging but important problem in a variety of financial applications. However with recent research, particularly those using machine learning and…
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient…
Scaling relations, such as the IPAT equation and the Kaya identity, are useful for quickly gauging the scale of economic, technological, and demographic changes required to reduce environmental impacts and pressures; in the case of the Kaya…
This paper proposes an approach to environmental accounting useful for studying the feasibility of socio-economic systems in relation to the external constraints posed by ecological compatibility. The approach is based on a multi-scale…
There is growing recognition among financial institutions, financial regulators and policy makers of the importance of addressing nature-related risks and opportunities. Evaluating and assessing nature-related risks for financial…
Experimental results on market behavior establish a lower stability and efficiency of markets for durable re-tradable assets compared to markets for non-durable, or perishable, goods. In this chapter, we revisit this known but…
Difficulties identifying appropriate biodiversity impact metrics remain a major barrier to inclusion of biodiversity considerations in environmentally responsible investment. We propose and analyse a simple science-based local metric: the…
This paper introduces a new methodology for constructing a network of companies called a dynamic asset graph. This is similar to the dynamic asset tree studied recently, as both are based on correlations between asset returns. However, the…
In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions…
We build a state-of-the-art dynamic model of private asset allocation that considers five key features of private asset markets: (1) the illiquid nature of private assets, (2) timing lags between capital commitments, capital calls, and…
Net profit is sometimes found from data for net operating surplus. We propose a way to find it from data for consumption, pay and market-value capital, and concomitantly to reveal the factor shares in consumption.
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…
Climate adaptation could yield significant benefits. However, the uncertainty of which future climate scenarios will occur decreases the feasibility of proactively adapting. Climate adaptation projects could be underwritten by benefits paid…
The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental…
Monetary markets serve as established resource allocation mechanisms, typically achieving efficient solutions with limited information. However, they are susceptible to market failures, particularly under the presence of public goods,…
We live in an age of consumption with an ever-increasing demand of already scarce resources and equally fast growing problems of waste generation and climate change. To tackle these difficult issues, we must learn from mother nature. Just…
We uncover a new anomaly in asset pricing that is linked to the remuneration: the more a company spends on salaries and benefits per employee, the better its stock performs, on average. Moreover, the companies adopting similar remuneration…
I show that if the capital accumulation dynamics is stochastic a new term, in addition to that given by accounting prices, has to be introduced in order to derive a correct estimate of the genuine wealth of an economy. In a simple model…
The optimal taxation of assets requires attention to two concerns: 1) the elasticity of the supply of assets and 2) the impact of taxing assets on distributional objectives. The most efficient way to attend to these two concerns is to tax…
We have shown, in a series of articles, that a classical description of a large number of economic agents can be replaced by a statistical fields formalism. To better understand the accumulation and allocation of capital among different…