Asset management with an ESG mandate
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866910738422956032 |
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| author | Azzone, Michele Barucci, Emilio Stocco, Davide |
| author_facet | Azzone, Michele Barucci, Emilio Stocco, Davide |
| contents | We investigate the portfolio frontier and risk premia in equilibrium when institutional investors aim to minimize the tracking error variance under an ESG score mandate. If a negative ESG premium is priced in the market, this mandate can reduce portfolio inefficiency when the return over-performance target is limited. In equilibrium, with asset managers endowed with an ESG mandate and mean-variance investors, a negative ESG premium arises. A result that is supported by empirical data. The negative ESG premium is due to the ESG constraint imposed on institutional investors and is not associated with a risk factor. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_11622 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Asset management with an ESG mandate Azzone, Michele Barucci, Emilio Stocco, Davide Portfolio Management We investigate the portfolio frontier and risk premia in equilibrium when institutional investors aim to minimize the tracking error variance under an ESG score mandate. If a negative ESG premium is priced in the market, this mandate can reduce portfolio inefficiency when the return over-performance target is limited. In equilibrium, with asset managers endowed with an ESG mandate and mean-variance investors, a negative ESG premium arises. A result that is supported by empirical data. The negative ESG premium is due to the ESG constraint imposed on institutional investors and is not associated with a risk factor. |
| title | Asset management with an ESG mandate |
| topic | Portfolio Management |
| url | https://arxiv.org/abs/2403.11622 |