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A Comparison of ESG and Credit Ratings
via ZoomSpeaker: 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 […]
ESG compliant optimal portfolios: The impact of ESG constraints on portfolio optimization in a sample of European stocks
via ZoomSpeaker: 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 […]
Seminar Cancelled
Speaker: Prof. Nandita Das, College of Business, Delaware State University Title:Is there a difference in ESG fund performance among different economies? This is joint work with Prof. Aman Sunder, Dean […]
How Do Investors Value Sustainability? A Utility-Based Preference Optimization
via ZoomSpeaker: Dr. Aydin Aslan, Department of Finance, Technical University of Dortmund Abstract: We investigate how an investor’s preference for sustainable assets in the portfolio varies for differing levels of risk […]
Did ESG Save the Day? Evidence From India During the COVID 19 Crisis
via ZoomSpeaker: Prof. Ved Beloskar, Modi School of Commerce, NMIMS Deemed to be University, Mumbai Abstract: Investors have shown increasing interest in Socially Responsible Investments (SRI) in the past few years, […]
Hedonic Models of Real Estate Prices with ESG Factors
via ZoomSpeaker: Jason Bailey, Department of Math & Statistics, Texas Tech University Abstract: With the increasing importance of ESG factors in real estate constructions and prices, we investigate commonly-accepted factors in […]
Seminar Cancelled – Deep Reinforcement Learning for ESG financial portfolio management
via ZoomSpeaker: Prof. Eduardo C. Garrido Merchán, Faculty of Economic and Business Sciences (ICADE), Comillas Universidad Pontifica Abstract: This paper investigates the application of Deep Reinforcement Learning (DRL) for Environment, Social, […]
ESG integration strategy for stocks portfolios based on a resampling methodology with a multivariate normal distribution
via ZoomSpeaker: Prof. Antonio Francisco de Almeida da Silva Jr., Department of Business Administration, Universidade Federal de Bahia, Salvador Brazil abstract: The aim of the work is to present a framework […]
Folly and Fantasy in Finance
via ZoomSpeaker: Prof. Dilip Madan, Robert H. Smith School of Business, University of Maryland Abstract: Strategies for selecting hedging measures that both respect certain market values of cash flows and yet […]
Identification and Estimation of Parameter Instability in High Dimensional Approximate Factor Models
via ZoomSpeaker: Prof. Ruiqi Liu, Department of Mathematics & Statistics, Texas Tech University Abstract: This paper introduces a novel approach for estimating structural break ratios in the factor loadings of high-dimensional […]
Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital
via ZoomSpeaker: Massimo Guidolin, Department of Finance, Bocconi University, Milan, Italy Abstract: We test the performance of two ESG score-driven quantitative signals on a large, multi-national crosssection of European stock returns. […]