4 papers
Market-Implied Sustainability: Insights from Funds' Portfolio Holdings
Rosella Giacometti, Gabriele Torri, Marco Bonomelli +1
In this work we propose a framework to construct Market-Implied Sustainability (MIS) scores for individual firms by exploiting fund-level sustainability classifications and granula…
Modeling portfolio loss distribution under infectious defaults and immunization
Gabriele Torri, Rosella Giacometti, Gianluca Farina
We introduce a model for the loss distribution of a credit portfolio considering a contagion mechanism for the default of names which is the result of two independent components: a…
A return-diversification approach to portfolio selection
Francesco Cesarone, Rosella Giacometti, Manuel Luis Martino +1
In this paper, we propose a general bi-objective model for portfolio selection, aiming to maximize both a diversification measure and the portfolio expected return. Within this gen…
An Axiomatic Risk-Reward Framework for Sustainable Investing
Gabriele Torri, Rosella Giacometti, Darinka Dentcheva +2
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environ…