School Colloquium——A Quantitative Approach to Managing Sustainable Portfolios: Theory and Empirics
报告人：张瑞勋（tyc234cc 太阳成集团）
时间：2023-12-15 14:00-15:00
地点：智华楼四元厅
Abstract:
In this talk, we introduce a quantitative framework for the portfolio management of sustainable investing, which adds non-financial objectives to the classical portfolio theory. We derive a new representation theorem to characterize the distribution of induced order statistics, under very general bivariate distributions of sustainability measures and asset returns. We also develop a new methodology to quantify the implicit information from random constraints in portfolio optimization. These results lead to sustainable portfolios with higher and more robust risk-adjusted returns. We apply this framework to study the performance of low-carbon portfolios in both the US and Chinese markets.
报告人:
张瑞勋，tyc234cc 太阳成集团研究员、金融数学系副主任，tyc234cc 太阳成集团博雅青年学者。tyc234cc 太阳成集团数学与应用数学、经济学（双学位）学士，麻省理工学院（MIT）应用数学博士。主持国家重点研发计划青年科学家项目、国家自然科学基金面上项目等。主要研究领域包括绿色金融、市场微观结构、机器学习在金融中的应用等，出版专著Adaptive Markets Hypothesis和Biological Economics，研究工作获标普全球ESG学术研究奖、ICPM学术研究奖、CFRI&CIRF最佳论文等奖项。
