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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.

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2 votes
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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 ...
user61695's user avatar
15 votes
1 answer

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 ...
AK88's user avatar
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0 votes
1 answer

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 ...
Synnex's user avatar
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3 votes
0 answers

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 ...
Lahcen Oula's user avatar
2 votes
1 answer

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 ...
Sara Farias Martins's user avatar
3 votes
1 answer

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 ...
bhavsi's user avatar
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6 votes
2 answers

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) ...
Dimitri Vulis's user avatar