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                金融工程研究中心学ω术报告:Optimal Impact Investing and the Risk and Reward of Green Portfolios

                报告人张瑞勋 博士,北京大学数→学科学学院研究员

                时间2022.09.29(周四) 9:00-10:00

                地点:金融工程研究中心

                腾讯会议123-971-756

                摘要We propose a quantitative framework for assessing the financial impact of any form of impact investing, including socially responsible investing (SRI), environmental, social, and governance (ESG) objectives, and other non-financial investment criteria. Under general bivariate distributions of the impact factor and residual returns from a multi-factor asset-pricing model, the construction and performance of optimal impact portfolios depend critically on the dependence structure (copula) between the two, which reduces to a correlation under normality assumptions. We explicitly derive the optimal portfolio weights under several copula families. We apply this framework to study the performance of green portfolios in both the US and Chinese markets, constructed using a broad range of climate-related environmental metrics, including carbon emissions, water consumption, waste disposal, land and water pollutants, air pollutants, and natural resource use.

                 

                This talk is based on three working papers.

                 

                 

                报告人简介

                张瑞勋博士,北京大学数学江苏福彩网科学学院研究员、博雅青年学者,金融数学系副主江苏福彩网任,海外高层次人才计划青年〒项目入选者。2011年获北京大学数学与应用数学、经济学(双学位)学士学位,2015年获MIT应用数ξ学博士学位。主要研究兴趣包括绿色投ζ 资、市场微观结构、适应性市场理论、金融科技,主持国家自然科江苏福彩网学基金面上项目,出版专著Adaptive Markets HypothesisBiological Economics

                 


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