论文标题
ESG值的投资组合优化和动态资产定价
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing
论文作者
论文摘要
ESG评级为社会负责投资提供了定量措施。我们提出了将数字ESG评级纳入动态定价理论的统一框架。具体而言，我们引入了ESG值回报，这是财务回报和ESG分数的线性约束转换。这导致了由奖励，风险和ESG评分控制的空间中更复杂的投资组合优化问题。该框架保留了传统的风险厌恶参数，并引入了ESG亲和力参数。我们应用此框架来开发ESG值：投资组合优化；资本市场线；风险措施；选项定价；以及阴影无风险的计算。
ESG ratings provide a quantitative measure for socially responsible investment. We present a unified framework for incorporating numeric ESG ratings into dynamic pricing theory. Specifically, we introduce an ESG-valued return that is a linearly constrained transformation of financial return and ESG score. This leads to a more complex portfolio optimization problem in a space governed by reward, risk and ESG score. The framework preserves the traditional risk aversion parameter and introduces an ESG affinity parameter. We apply this framework to develop ESG-valued: portfolio optimization; capital market line; risk measures; option pricing; and the computation of shadow riskless rates.
