Progetto di ricerca
Impact and sustainable investing: Beyond or behind ESG?
The project aims to analyse the optimal portfolio allocation problem taking into account both financial and non (strictly) financial risks. Specifically, against the background of the ONU 2030 Agenda, the project will be developed considering the ESG (Environmental, Social and Governance) dimensions with attention to their risk-return implications, which are of uttermost importance both for financial institutions (banks, asset managers, investment and pension funds) and households investment decisions. To integrate these new dimensions with optimization techniques most used in finance, a primary objective will be the quantification of the contribution of ESG-assets to portfolio management, placing attention on new risks that they may introduce. Specifically, to the end of providing an implementation based on stochastic programming, the generation of scenarios not only for financial but also for ESG risk factors will be on the research agenda. In the overall project development special emphasis will be placed on the quantification of the impact and sustainability of new ESG-related assets and investment management techniques.
Interessi di ricerca e pubblicazioni
- Bertelli B., Boero G., Torricelli C., 2021, The market price of greenness: a factor pricing approach for Green Bonds, Working Paper Cefin N.83, June