ESG dimension in asset allocation optimization process / Romain LAMIRAND / 2021

Titre : ESG dimension in asset allocation optimization process Type de document : Mémoire Auteurs : Romain LAMIRAND, Auteur Année de publication : 2021 Importance : 42 p. Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec votre compte Office 365 via le bouton CONNEXION en haut de page. Langues : Anglais (eng) Mots-clés : Management OPTIMISATION ; ACTIF Entreprise 3G CAPITAL MANAGEMENT Résumé : The purpose of this article is first to demonstrate that including quantitatively ESG rating in optimization portfolio processes do not highly affect performances. Then, we demonstrate that considering ESG rating evolutions highly improve ESG equity selection. To do this, we will first consider the ESG analysis and rating methodologies. Indeed, rating agencies uses many methodologies and different results are released. The focus on this aims to certify the quality of data that will be inputted in the model. Then, a short state of art about portfolio optimization processes will be a prominent tool to input ESG rating. Classic Markowitz portfolio analysis is used in this article adding ESG as a constraint. The first development part will develop better conditions of use to the model in S&P 500 returns from end of 2016 to end of 2020. Finally, using results from the first part, we will show that the better process to optimize ESG rating of portfolios without affecting too many performances of the portfolio is the selection of stocks using ESG rating evolution and not only pure ESG rates. Programme : MSc Finance & Big Data Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=538849