Related papers: Portfolio Optimization for Index Tracking with Con…
We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mitigation measures are implemented to manage inherent risks…
This paper investigates strategic investments needed to mitigate transition risks, particularly focusing on sectors significantly impacted by the shift to a low-carbon economy. It emphasizes the importance of tailored sector-specific…
The passive management approach offers conservative investors a way to reduce risk concerning the market. This investment strategy aims at replicating a specific index, such as the NASDAQ Composite or the FTSE100 index. The problem is that…
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…
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…
Sustainable investing refers to the integration of environmental and social aspects in investors' decisions. We propose a novel methodology based on the Triangulated Maximally Filtered Graph and node2vec algorithms to construct an hedging…
We develop a comprehensive framework to measure the impact of the climate transition on investment portfolios. Our analysis is enriched by including geographical, sectoral, company and ISIN-level data to assess transition risk. We find that…
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…
Index tracking, also known as passive investing, has gained significant traction in financial markets due to its cost-effective and efficient approach to replicating the performance of a specific market index. This review paper provides a…
Industrial sectors such as urban centers, chemical companies, manufacturing facilities, and microgrids are actively exploring strategies to help reduce their carbon footprint. For instance, university campuses are complex urban districts…
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''…
Climate physical risks pose an increasing threat to urban infrastructure, necessitating urgent climate adaptation measures to protect lives and assets. Implementing such measures, including the development of resilient infrastructure and…
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of…
The stock market offers a platform where people buy and sell shares of publicly listed companies. Generally, stock prices are quite volatile; hence predicting them is a daunting task. There is still much research going to develop more…
An actively managed portfolio almost never beats the market in the long term. Thus, many investors often resort to passively managed portfolios whose aim is to follow a certain financial index. The task of building such passive portfolios…
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that…
Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. By employing a panel regression analysis on sectoral returns,…
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…
Designing an optimum portfolio for allocating suitable weights to its constituent assets so that the return and risk associated with the portfolio are optimized is a computationally hard problem. The seminal work of Markowitz that attempted…