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Enhancing ESG-Risk Modelling - A study of the dependence structure of sustainable investing
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2020 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Utvecklad ESG-Risk Modellering - En studie på beroendestrukturen av hållbara investeringar (Swedish)
Abstract [en]

The interest in sustainable investing has increased significantly during recent years. Asset managers and institutional investors are urged to invest more sustainable from their stakeholders, reducing their investment universe. This thesis has found that sustainable investments have a different linear dependence structure compared to the regional markets in Europe and North America, but not in Asia-Pacific. However, the largest drawdowns of an sustainable compliant portfolio has historically been lower compared to the a random market portfolio, especially in Europe and North America.

Abstract [sv]

Intresset för hållbara investeringar har ökat avsevärt de senaste åren. Fondförvaltare och institutionella investerare är, från deras intressenter, manade att investera mer hållbart vilket minskar förvaltarnas investeringsuniversum. Denna uppsats har funnit att hållbara investeringar har en beroendestruktur som är skild från de regionala marknaderna i Europa och Nordamerika, men inte för Asien-Stillahavsregionen. De största värdeminskningarna i en hållbar portfölj har historiskt varit mindre än värdeminskningarna från en slumpmässig marknadsportfölj, framförallt i Europa och Nordamerika.

Place, publisher, year, edition, pages
2020.
Series
TRITA-SCI-GRU ; 2020:001
Keywords [en]
ESG, Sustainable Investing, Dependency Structure, Correlation, Risk, Random Matrix Theory, Eigenvalue, Eigenvalue Decomposition, Minimum Variance Portfolio
Keywords [sv]
ESG, Hållbar Investering, Beroendestruktur, Korrelation, Stokastisk Matristeori, Egenvärden, Egenvärdes Dekomposition, Minimal Variansportfölj
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-266378OAI: oai:DiVA.org:kth-266378DiVA, id: diva2:1385199
External cooperation
Skandia Investment Management
Subject / course
Financial Mathematics
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2020-01-13 Created: 2020-01-13 Last updated: 2020-01-13Bibliographically approved

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3233343536373835 of 112
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