[HTML][HTML] Sustainable investing: ESG versus SDG
C De Franco, J Nicolle, LA Tran - The Journal of Impact and …, 2021 - jesg.pm-research.com
In this paper, we compare the established ESG-oriented to the more recent SDG-driven
investment strategies in the United States and Europe. We have built cap-weighted portfolios …
investment strategies in the United States and Europe. We have built cap-weighted portfolios …
Bayesian learning for the Markowitz portfolio selection problem
C De Franco, J Nicolle, H Pham - International Journal of …, 2019 - World Scientific
We study the Markowitz portfolio selection problem with unknown drift vector in the multi-dimensional
framework. The prior belief on the uncertain expected rate of return is modeled by …
framework. The prior belief on the uncertain expected rate of return is modeled by …
[HTML][HTML] Dealing with drift uncertainty: a bayesian learning approach
C De Franco, J Nicolle, H Pham - Risks, 2019 - mdpi.com
One of the main challenges investors have to face is model uncertainty. Typically, the dynamic
of the assets is modeled using two parameters: the drift vector and the covariance matrix, …
of the assets is modeled using two parameters: the drift vector and the covariance matrix, …
How Different Are Alternative Beta Strategies?
C De Franco, B Monnier, J Nicolle… - The Journal of Index …, 2016 - search.proquest.com
In this article, the authors use a quantitative approach to compare different alternative beta
strategies, based on statistical relationships among their returns. Using correlations, principal …
strategies, based on statistical relationships among their returns. Using correlations, principal …
[PDF][PDF] The challenge to meet net-zero
C De Franco, J Nicolle, LA Tran - The Journal of Impact and ESG …, 2022 - researchgate.net
Over the last few years, investors have started to integrate climate risks in their portfolios,
mainly through measurable climate objectives. Among several approaches that have been …
mainly through measurable climate objectives. Among several approaches that have been …
Climate Portfolio Alignment and Temperature Scores.
C de Franco, J Nicolle, LA Tran - Journal of Impact & ESG …, 2023 - search.ebscohost.com
In this article, the authors show, first with a toy model and then with actual data, how the
aggregation method for a portfolio's temperature scores heavily determines and shapes its …
aggregation method for a portfolio's temperature scores heavily determines and shapes its …
[HTML][HTML] Corporate Governance and Its Impact on Equity Performance
C de Franco, J Nicolle, LA Tran… - The Journal of Impact …, 2023 - jesg.pm-research.com
Corporate governance is a complex and multifaceted subject. Furthermore, governance
data are hard to collect and measure on a large scale. The classic approach to examine …
data are hard to collect and measure on a large scale. The classic approach to examine …
Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
C De Franco, J Nicolle, H Pham - arXiv preprint arXiv:2010.15779, 2020 - arxiv.org
We study a discrete-time portfolio selection problem with partial information and maxi\-mum
drawdown constraint. Drift uncertainty in the multidimensional framework is modeled by a …
drawdown constraint. Drift uncertainty in the multidimensional framework is modeled by a …
Practical Applications of Corporate Governance and Its Impact on Equity Performance
C de Franco, J Nicolle, LA Tran… - Practical …, 2023 - pm-research.com
In Corporate Governance and Its Impact on Equity Performance , from the Spring 2023 issue
of The Journal of Impact and ESG Investing, Carmine de Franco, Johann Nicolle, and Lan-…
of The Journal of Impact and ESG Investing, Carmine de Franco, Johann Nicolle, and Lan-…
Some contributions of Bayesian and computational learning methods to portfolio selection problems
J Nicolle - 2020 - theses.hal.science
The present thesis is a study of different optimal portfolio allocation problems in the case where
the appreciation rate, named the drift, of the Brownian motion driving the dynamics of the …
the appreciation rate, named the drift, of the Brownian motion driving the dynamics of the …