An empirical analysis on SRI: do sustainable portfolios overperform or underperform non sustainable ones?
Papini, Guglielmo (A.A. 2019/2020) An empirical analysis on SRI: do sustainable portfolios overperform or underperform non sustainable ones? Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 53. [Master's Degree Thesis]
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Abstract/Index
ESG universe. Literature review. SRI market. Rating methodology. Methodology. Data description and variables definition. The ESG portfolios. Min-variance portfolios performance. Risk measures and results. Upside and downside volatility. Modified value at risk and modified sharpe ratio. Risk analysis of sctive portfolios. Coronavirus pandemic.
References
Bibliografia: pp. 41-45.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Empirical finance |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Porchia, Paolo |
| Academic Year: | 2019/2020 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 19 May 2021 08:14 |
| Last Modified: | 19 May 2021 08:14 |
| URI: | https://tesi.luiss.it/id/eprint/29508 |
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