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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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TZOFFSETFROM:-0600
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DTSTART:20230312T080000
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DTSTART:20231105T070000
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DTSTART;TZID=America/Chicago:20231110T120000
DTEND;TZID=America/Chicago:20231110T130000
DTSTAMP:20260411T183416
CREATED:20230809T170959Z
LAST-MODIFIED:20230817T183926Z
UID:1146-1699617600-1699621200@www.math.ttu.edu
SUMMARY:Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory
DESCRIPTION:Speaker: Prof. Massimiliano Kaucic\, Department of Economics\, Business\, Mathematics & Statistical Sciences\, University of Trieste \nAbstract: In the last five years\, extreme events such as the COVID-19 pandemic and the Ukrainian crisis have highlighted the importance of corporate social responsibility and sustainable principles. Consequently\, the investment process is changing toward more ethical choices. In this context\, we extend the classical optimization framework under the cumulative prospect theory (CPT) in two directions. We first consider an agent who maximizes a financial CPT-value function preselecting the assets to be included in the portfolio based on their environmental\, social\, and governance (ESG) scores. Then\, we develop a bi-objective model that optimizes financial and sustainable CPT-value functions at the same time. Numerical results obtained on an investable universe from the constituents of the STOXX Europe 600 show that introducing ESG information improves the portfolio’s financial performance.
URL:https://www.math.ttu.edu/mathematicalfinance/event/esg-ratings-and-portfolio-optimization-a-real-world-analysis-on-euro-stoxx/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/Kaucic.png
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