Questions tagged [esg]
Environmental, Social, and Governance refers to the three central factors in measuring the sustainability and societal impact of an investment in a company or business.
8 questions
1
vote
0
answers
57
views
Volatility of S&P 500 based portfolios too low
I am trying to calculate the volatility of five portfolios consisting of S&P 500 stocks.
The portfolios consist roughly each of 20% of the S&P 500 members between 2015-2022, rebalanced monthly ...
- 11
2
votes
1
answer
243
views
How to incorporate ESG in Portfolio Optimization?
I currently have a potential investment universe of several thousand stocks and would like to calculate an optimal portfolio that incorporates ESG criteria as well as risk and return. The model should ...
- 49
17
votes
1
answer
2k
views
Quantifying climate change risk
I am looking for resources on applicable and practical solutions for estimation and quantifying climate change risk from asset owners perspective (for example, a portfolio of equity, fixed income, and ...
- 1,910
0
votes
1
answer
185
views
ETF NAV Premium vs. market ETF premium interpretation regression output
this is my first post in this forum, so if I'm doing any kind of mistake please let me know.
My situation is as follows:
I'm currently writing my Thesis and I'm looking into the discrepancies of ETF ...
- 1
3
votes
0
answers
93
views
ESG risk factors
In the context of EU action on sustainable finance, the European Commission has initiated a series of regulations in order to achieve the goals of Paris Agreement on sustainability.
One of those ...
- 43
2
votes
1
answer
680
views
How to create an additional ESG factor into a Fama and French 3 Factor Model
I'm writing my thesis on the relationship between financial performance and sustainability. For that I'm comparing the returns of 2 portfolios, the first having really good ESG scoring firms, while ...
3
votes
1
answer
303
views
How to test ESG score as a factor against traditional factors
I have created my own ESG scoring system. I would like to test it as a factor against the traditional factors (growth, Value, quality, size etc)
In essence a correlation test.
Could anyone please ...
- 31
7
votes
3
answers
314
views
How to price, hedge ESG-dependent products?
I read with interest news about Netherlands bank trading several novel products in which a counterparty pays floating cash flows linked to the counterparty's ESG (environment, social, governance) ...
- 13.2k