3 papers
q-fin.RM2025
Physical Climate Risk in Asset Management
Michele Azzone, Matteo Ghesini, Davide Stocco +1
Climate-related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and product…
q-fin.PM2024
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…
q-fin.PM2023
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…