相关论文: Navigating Uncertainty in ESG Investing

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…

Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environmental and social sustainability, i.e. environmental,…

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…

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…

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…

ESG ratings provide a quantitative measure for socially responsible investment. We present a unified framework for incorporating numeric ESG ratings into dynamic pricing theory. Specifically, we introduce an ESG-valued return that is a…

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…

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…

We systematically investigate the links between price returns and Environment, Social and Governance (ESG) scores in the European equity market. Using interpretable machine learning, we examine whether ESG scores can explain the part of…

This paper introduces and defines a novel concept in sustainable investing, termed crosswashing, and explore its impact on ESG (Environmental, Social, and Governance) ratings through quantitative analysis using a Multi-Criteria Decision…

Environmental, Social, and Governance (ESG) datasets are frequently plagued by significant data gaps, leading to inconsistencies in ESG ratings due to varying imputation methods. This paper explores the application of established machine…

Portfolio optimization involves determining the optimal allocation of portfolio assets in order to maximize a given investment objective. Traditionally, some form of mean-variance optimization is used with the aim of maximizing returns…

InvestESG is a novel multi-agent reinforcement learning (MARL) benchmark designed to study the impact of Environmental, Social, and Governance (ESG) disclosure mandates on corporate climate investments. The benchmark models an intertemporal…

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…

Environmental, social, and governance (ESG) criteria are essential for evaluating corporate sustainability and ethical performance. However, professional ESG analysis is hindered by data fragmentation across unstructured sources, and…

The rapid growth of sustainable investing, now exceeding 35 trillion USD globally, has transformed financial markets, yet the implications for monetary policy transmission remain underexplored. While existing literature documents…

Environmental, Social, and Governance (ESG) are non-financial factors that are garnering attention from investors as they increasingly look to apply these as part of their analysis to identify material risks and growth opportunities. Some…

Environmental, Social, and Governance (ESG) scores measure companies' performance concerning sustainability and societal impact and are organized on three pillars: Environmental (E), Social (S), and Governance (G). These complementary…

Environmental, social and governance (ESG) engagement of companies moved into the focus of public attention over recent years. With the requirements of compulsory reporting being implemented and investors incorporating sustainability in…

We present ESG-FTSE, the first corpus comprised of news articles with Environmental, Social and Governance (ESG) relevance annotations. In recent years, investors and regulators have pushed ESG investing to the mainstream due to the urgency…