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Incorporating ESG i...
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Lööf, Hans,1961-KTH,Industriell ekonomi och organisation (Inst.),KTH Royal instute of technology, Sweden
(author)
Incorporating ESG into Optimal Stock Portfolios for the Global Timber & Forestry Industry
- Article/chapterEnglish2023
Publisher, publication year, extent ...
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2023
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Now Publishers Inc.2023
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electronicrdacarrier
Numbers
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LIBRIS-ID:oai:DiVA.org:lnu-119714
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https://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-119714URI
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https://doi.org/10.1561/112.00000560DOI
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https://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-338705URI
Supplementary language notes
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Language:English
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Summary in:English
Part of subdatabase
Classification
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Subject category:ref swepub-contenttype
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Subject category:art swepub-publicationtype
Notes
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QC 20231024
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This paper investigates how optimal portfolios of timber & forestry stocks perform relative to the global S&P timber & forestry index when corporate social responsibility (CSR) is considered. We incorporate CSR in the construction of optimal portfolios by utilizing combined environmental, social, and governance (ESG) scores. Historical as well as copula-augmented predictive models and ESG-constrained optimization are used to analyze out-of-sample performance of various portfolio strategies over the period 2018–2021. The results of copula-based portfolio strategies are better than of the historical models. Another insight gained by this study is that socially responsible investments in forestry stocks are feasible without sacrificing risk-adjusted returns.
Subject headings and genre
Added entries (persons, corporate bodies, meetings, titles ...)
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Sahamkhadam, MaziarLinnéuniversitetet,Institutionen för management (MAN),Linnaeus Univ, Växjö, Sweden.(Swepub:lnu)masaad
(author)
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Stephan, Andreas,1968-Linnéuniversitetet,Institutionen för skog och träteknik (SOT),Linnaeus Univ, Växjö, Sweden.(Swepub:lnu)anstae
(author)
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KTHIndustriell ekonomi och organisation (Inst.)
(creator_code:org_t)
Related titles
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In:Journal of Forest Economics: Now Publishers Inc.38:2, s. 133-1571104-68991618-1530
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