Retail and institutional investors consider the potential long-term environmental impact of their financial decisions. Buying stocks associated with the Environmental, Social and Governance (ESG) aspects of financial markets also has the potential to yield greater returns than standard financial investments. If this asset class demonstrates the benefits of diversification or has safe-haven qualities, this will further encourage investors worldwide to include it in their portfolios We are interested in analyzing sustainable asset allocation decisions: to achieve this goal, a deeper understanding of volatility dynamics and dependence structure of sustainable asset returns is needed. For this purpose, the application of parametric and non-parametric models to describe the volatility of sustainable asset time series and the evaluation of their goodness of fit is of great interest for: market participants (e.g. retail and institutional investors)in order to provide them with accurate forecasts of future volatility; asset managers in order to measure the contribution of an individual asset to the systemic risk within the broader ESG framework.
Analyzing the Volatility of Sustainable Finance: an Investigation of Volatility, Risk Measures, and ESG Reputational Impact (A.V.S.F.)
Battaglia, F.
;De Luca, G.;Previtali, D.;Regoli, A.;Rivieccio, G.;Sampagnaro, G.;Scognamiglio, S.;Starita, M. G.;Stella, G. P.
2024-01-01
Abstract
Retail and institutional investors consider the potential long-term environmental impact of their financial decisions. Buying stocks associated with the Environmental, Social and Governance (ESG) aspects of financial markets also has the potential to yield greater returns than standard financial investments. If this asset class demonstrates the benefits of diversification or has safe-haven qualities, this will further encourage investors worldwide to include it in their portfolios We are interested in analyzing sustainable asset allocation decisions: to achieve this goal, a deeper understanding of volatility dynamics and dependence structure of sustainable asset returns is needed. For this purpose, the application of parametric and non-parametric models to describe the volatility of sustainable asset time series and the evaluation of their goodness of fit is of great interest for: market participants (e.g. retail and institutional investors)in order to provide them with accurate forecasts of future volatility; asset managers in order to measure the contribution of an individual asset to the systemic risk within the broader ESG framework.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
