15 citations · 39 across the 12 of their papers we have counts for
3 papers · 1 filter
Temperature Anomalies and Climate Physical Risk in Portfolio Construction
Michele Azzone, Carlo Bechi, Gabriele Sbaiz
Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. B…
Asset management with an ESG mandate
Michele Azzone, Emilio Barucci, Davide Stocco
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 negat…
Hedging carbon risk with a network approach
Michele Azzone, Maria Chiara Pocelli, Davide Stocco
Sustainable investing refers to the integration of environmental and social aspects in investors' decisions. We propose a novel methodology based on the Triangulated Maximally Filt…