Sökning: L773:1104 6899 OR L773:1618 1530
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Incorporating ESG i...
Incorporating ESG into Optimal Stock Portfolios for the Global Timber & Forestry Industry
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- Lööf, Hans, 1961- (författare)
- KTH,Industriell ekonomi och organisation (Inst.),KTH Royal instute of technology, Sweden
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- Sahamkhadam, Maziar (författare)
- Linnéuniversitetet,Institutionen för management (MAN),Linnaeus Univ, Växjö, Sweden.
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- Stephan, Andreas, 1968- (författare)
- Linnéuniversitetet,Institutionen för skog och träteknik (SOT),Linnaeus Univ, Växjö, Sweden.
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KTH Industriell ekonomi och organisation (Inst) (creator_code:org_t)
- 2023
- 2023
- Engelska.
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Ingår i: Journal of Forest Economics. - : Now Publishers Inc.. - 1104-6899 .- 1618-1530. ; 38:2, s. 133-157
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Abstract
Ämnesord
Stäng
- 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.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Portfolio optimization
- ESG
- forestry stocks
- return
- risk
- vine copula
- Economy
- Ekonomi
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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