18/11/2022 Portfolio Allocation Incorporating ESG Risk In Fundamental Market Risk Models This paper investigates the possible impact of ESG Risk when incorporated into front office driven Fundamental Market Risk Measurement approaches.
6/04/2022 Portfolio Allocation Multi-Period Portfolio Optimization and Application to Portf... This research project is both an update of the analysis on carbon emissions trajectories proposed by Le Guenedal et al. (2020) and a companion study of...
3/01/2022 Portfolio Allocation Portfolio Construction with Climate Risk Measures Because of the 2015 Paris Agreement, the development of ESG investing and the emergence of net zero emission policies, climate risk is certainly the most...
12/11/2021 Portfolio Allocation ESG Improvers in Credit Investing The objective of this article is to explore the impact of ESG Improvers on the corporate bond market.
3/06/2021 Portfolio Allocation Measuring and Pricing Cyclone-Related Physical Risk under Ch... We propose a statistical methodology to quantify the financial implications of tropical cyclone-related physical risks implied by climate change.
26/02/2021 Portfolio Allocation Understanding the Performance of the Equity Value Factor After decades of sound performance, doubts have been cast on the ability of the equity value strategy to keep delivering in the aftermath of the 2008...
13/01/2021 Portfolio Allocation Responsible Investing and Stock Allocation We analyze the portfolio choices of approximately 913,000 active participants in employee saving plans in France.
15/01/2012 Portfolio Allocation Social responsibility and mean-variance portfolio selection This paper measures the trade-off between financial efficiency and SRI in the traditional mean-variance optimization