In this paper, we examine the impact of including environmental, social and governance
(ESG) criteria in the allocation of equity portfolios. We focus on the risk and return …

Machine learning (ML) is progressively reshaping the fields of quantitative finance and
algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers …

Previous research has provided evidence that in the last decade, investing according to
screening based on environmental, social, and governance (ESG) criteria would have …

We examine the impact of excluding sin stocks on expected portfolio risk and return.
Exclusions involve risk relative to the market and peers. We show how this tracking error can …

This article studies sin stocks on the European market over the period 2006–2020. In
addition to stocks in alcohol, tobacco, gambling, and defense sectors that are traditionally …

Sustainable investors aim to invest in companies that contribute to sustainable development.
However, there is disagreement on how best to measure corporate sustainability …

Although sustainable investing is becoming a mainstream ambition, investors disagree on
how to best measure corporate sustainability performance (CSP). Environmental, Social …

We compare the ownership characteristics of tobacco stocks with their peers in the same
country and industry group. We find lower reported ownership for stocks in the tobacco …

Sustainable investing has recently gained traction throughout the world. This trend has
multiple sources, which span from genuine ethical concerns to hopes of performance …

Abstract The 2015 Paris Agreement is a landmark in limiting emissions and targeting global
warming well below 2, preferably 1.5, degrees Celsius compared to pre-industrial levels. In …