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Found 2 essays matching the above criteria.

1. 1. Parametric portfolio policies with ESG -There is no cost

   University essay from Göteborgs universitet/Graduate School

   Author : Raihan Hasan; Otilia Esping; [2022-06-29]
   Keywords : Sustainable investment; ESG; Parametric portfolio policy; Generalized autoregressive score GAS ;

   Abstract : We propose an investment strategy with the potential for investors to gain a stronger environmental, social, and corporate governance (ESG) profile without a negative impact on performance. Specifically, we study the performance of a parametric portfolio policy when utilizing ESG score and ESG momentum characteristics in addition to value and momentum, in contrast to utilizing value and momentum only. READ MORE

3. 2. The difference in risk adjusted performance between socially responsible and conventional equity mutual funds - Evidence from Sweden

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Sebastian Alm; Otilia Esping; [2020-07-01]
   Keywords : ;

   Abstract : This thesis aims to study the difference in risk-adjusted performance between socially responsible (SR) and conventional equity mutual funds from a Swedish perspective. The study uses mutual fund data from the time-period January 2010 to January 2020. READ MORE