Please note: the whole of Institut Henri Poincaré (both buildings Borel et Perrin, the library and the museum) will be closed on Tuesday 15 and Wednesday 16 September due to a special event..
We apologise for any inconvenience and we thank you for your understanding.
From
Shedule -
Séminaire des doctorants de FIME
Davide Stocco - Asset management with an ESG mandate
IHP - Bâtiment Borel
Salle Marie-Louise Dubreil-Jacotin
We investigate the portfolio frontier and risk premia in equilibrium when institutional investors aim to minimize the tracking error variance under an ESG score mandate. If a negative ESG premium is priced in the market, this mandate can reduce portfolio inefficiency when the return over-performance target is limited. In equilibrium, with asset managers endowed with an ESG mandate and mean-variance investors, a negative ESG premium arises. A result that is supported by empirical data. The negative ESG premium is due to the ESG constraint imposed on institutional investors and is not associated with a risk factor.