4 papers
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…
Central Bank Digital Currency, Flight-to-Quality, and Bank-Runs in an Agent-Based Model
Emilio Barucci, Andrea Gurgone, Giulia Iori +1
We analyse financial stability and welfare impacts associated with the introduction of a Central Bank Digital Currency (CBDC) in a macroeconomic agent-based model. The model consid…
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…
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…