In this paper, we compare the established ESG-oriented to the more recent SDG-driven
investment strategies in the United States and Europe. We have built cap-weighted portfolios …

We study the Markowitz portfolio selection problem with unknown drift vector in the multi-dimensional
framework. The prior belief on the uncertain expected rate of return is modeled by …

One of the main challenges investors have to face is model uncertainty. Typically, the dynamic
of the assets is modeled using two parameters: the drift vector and the covariance matrix, …

In this article, the authors use a quantitative approach to compare different alternative beta
strategies, based on statistical relationships among their returns. Using correlations, principal …

Over the last few years, investors have started to integrate climate risks in their portfolios,
mainly through measurable climate objectives. Among several approaches that have been …

In this article, the authors show, first with a toy model and then with actual data, how the
aggregation method for a portfolio's temperature scores heavily determines and shapes its …

Corporate governance is a complex and multifaceted subject. Furthermore, governance
data are hard to collect and measure on a large scale. The classic approach to examine …

We study a discrete-time portfolio selection problem with partial information and maxi\-mum
drawdown constraint. Drift uncertainty in the multidimensional framework is modeled by a …

In Corporate Governance and Its Impact on Equity Performance , from the Spring 2023 issue
of The Journal of Impact and ESG Investing, Carmine de Franco, Johann Nicolle, and Lan-…

The present thesis is a study of different optimal portfolio allocation problems in the case where
the appreciation rate, named the drift, of the Brownian motion driving the dynamics of the …