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2478. ESG enhanced tracking portfolio with quantile regression
Invited abstract in session MC-51: Quantitative methods for systemic and climate risk, stream Risk management in finance.
Monday, 12:30-14:00Room: M5 (building: 101)
Authors (first author is the speaker)
| 1. | Marco Bonomelli
|
| Management, Economics and Quantitative Methods, University of Bergamo | |
| 2. | Rosella Giacometti
|
| Management, Economics and Quantitative Methods, University of Bergamo |
Abstract
The purpose of this paper is the formulation of an enhanced index replication model with second order stochastic dominance constraints.
The replicating portfolio is constructed minimizing an asymmetric deviation measure via quantile regression.
According to the investor's risk aversion preference, the resulting linear optimization problem can be solved for different quantiles.
In order to take into account the increasing attention to ESG issues, the strategies can be ehnanced, via hard and soft constraints, focusing on the sustainability of the replicating portfolio.
The performance of the optimal portfolios are tested both in-sample and out-of-sample, and are compared to the solutions of well-known models.
Keywords
- Optimization in Financial Mathematics
Status: accepted
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