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X-WR-CALNAME:Mathematical Finance
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X-WR-CALDESC:Events for Mathematical Finance
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TZOFFSETFROM:-0600
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DTSTART:20230312T080000
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DTSTART:20231105T070000
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DTSTART;TZID=America/Chicago:20230922T140000
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DTSTAMP:20260520T125917
CREATED:20230807T163516Z
LAST-MODIFIED:20230807T171515Z
UID:1129-1695391200-1695394800@www.math.ttu.edu
SUMMARY:ESG integration strategy for stocks portfolios based on a resampling methodology with a multivariate normal distribution
DESCRIPTION:Speaker: Prof. Antonio Francisco de Almeida da Silva Jr.\, Department of Business Administration\, Universidade Federal de Bahia\, Salvador Brazil \nabstract: The aim of the work is to present a framework for ESG integration and to analyze the consequences of considering environmental\, social and governance (ESG) factors in the optimization of investment portfolios. We use a multivariate normal distribution of returns and we generate portfolios by an optimization process combined with a Monte Carlo simulation. After applying an ESG filtering strategy to portfolios\, we show that the ex-ante costs (optimization process) of the ESG integration strategy may be very low compared to other approaches. The methodology presented in this paper avoid the complexity of modifying the utility function to include a new objective.
URL:https://www.math.ttu.edu/mathematicalfinance/event/esg-integration-strategy-for-stocks-portfolios-based-on-a-resampling-methodology-with-a-multivariate-normal-distribution/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/AFRANC.jpg
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