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METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZID:America/Chicago
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TZOFFSETFROM:-0600
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DTSTART:20230312T080000
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DTSTART:20231105T070000
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DTSTART;VALUE=DATE:20230414
DTEND;VALUE=DATE:20230415
DTSTAMP:20260417T104941
CREATED:20230102T174618Z
LAST-MODIFIED:20230113T180643Z
UID:1035-1681430400-1681516799@www.math.ttu.edu
SUMMARY:How Do Investors Value Sustainability? A Utility-Based Preference Optimization
DESCRIPTION:Speaker: Dr. Aydin Aslan\, Department of Finance\, Technical University of Dortmund \nAbstract: We investigate how an investor’s preference for sustainable assets in the portfolio varies for differing levels of risk aversion. Using a sample of 411 publicly listed firms in the S&P 500\, we calculate financial and sustainability returns\, on which the investor’s utility depends. We approximate the investor’s preference by the exponential and s-shaped utility function and optimize with regard to the sustainability preference. We find that with increasing levels of risk aversion\, both minimum-variance and maximum Sharpe ratio type investors seek to incorporate sustainable assets in the portfolio.
URL:https://www.math.ttu.edu/mathematicalfinance/event/no-ttu-math-finance-seminar-scheduled-2/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/aslan.jpg
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