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 […]
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 of the Graduate School, College for Financial Planning, Centennial CO Abstract: Public preference for Socially Responsible practices has grown exponentially over the past two decades. […]
Speaker: 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 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. […]
Speaker: 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, especially during the financial crisis caused due to the outbreak of the COVID-19 pandemic. SRI are evaluated on the basis of Environmental, Social and Governance […]
Speaker: 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 real estate prices through hedonic models and then apply the select ESG factors of green-home, air-conditioning, accessibility, and waterfront to evaluate their impact and significance […]
Speaker: 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, and Governance (ESG) financial portfolio management, with a specific focus on the potential benefits of ESG score-based market regulation. We leveraged an Advantage Actor-Critic (A2C) […]
Speaker: 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 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 […]
Speaker: 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 maintain control on their distance from physical measures are advocated, proposed and implemented. The hedging criterion is the maximization of a conservative valuation of the […]
Speaker: 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 approximate factor models, where the breaks occur at unknown common dates and the number of factors is unknown. Our method is based on the observation […]
Speaker: 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. In particular, we ask whether in the cross-section, the cost of equity capital is more strongly affected by the (upward) “slope” (identified as momentum over […]
Speaker: Prof. Lorenzo Mercuri, Dept. of Economics, Management & Quantitative Finance Methods, University of Milan Abstract: The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented […]