Speaker: Prof. Sandra Paterlini, Economics and Management, University of Trento Abstract: In recent years, companies have increasingly been characterized by environ- mental, social, and governance (ESG) scores, and investors and academics have raised questions concerning financial performance and investment risks. Now, as the European Banking Authority has acknowledged that ESG risks can potentially impact the […]

Speaker: Prof. Javier Lopez Prol, Economics & Environmental Finance, Yonsei University (Mirae) Abstract: The literature on the risk-return performance of equity portfolios depending on their ESG score is mixed. While most studies use some variant of Fama-French, we optimize equity portfolios of the NYSE between 2018-2019 according to the Markovitz mean-variance framework depending on their […]

Speaker: Prof. Thierry Roncalli, Head of Quantitative Research, Amundi Institute; and Adjunct Prof. of Economics, University of Evry Abstract: In this talk, we analyze the construction of ESG ratings and investigate their time dynamics. For that, we build the migration matrix of ESG ratings and assess the probabilistic properties of the associated Markov chain. We […]

Speaker: Beatrice Bertelli, Dept. of Economics, Università degli Studi di Modena e Reggio Emilia Abstract: The introduction of the Environmental, Social, Governance (ESG) dimensions in setting up optimal portfolios has been becoming of uttermost importance for the financial industry. Given the absence of consensus in empirical literature and the limited number of studies providing performance […]