The objective of this paper is twofold. On the one hand, the optimal combination of reinsurance and financial investment is studied under a general framework, since there is no specific type of reinsurance contract, there is no specific dynamics of the financial instruments, the financial market...

We present a framework of environmental, social, and governance (ESG) investing based on the systematic ESG risk. A double-factor model is suggested to explain the asset returns comovement due to two systematic risk factors: the adjusted market risk and the systematic ESG risk. The relation...

Investors can regard passive environment, social, and governance (ESG) investing as a cost-effective strategy to manage systematic ESG risk. This analysis aims to explain the expected performance of passively following an ESG-screened index within the risk-return paradigm. The author formulates...

Constructing ESG-screened portfolios aims to reduce the aggregate ESG-risk at the portfolio level by excluding low ESG-score constituents from the selection universe. But ESG-screening imposes limits on potential diversification as well as alters risk exposures to systematic factors. To...

Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...

We develop a new class of utility functions, SAHARA utility, with the distinguishing feature that it allows absolute risk aversion to be non-monotone and implements the assumption that agents may become less risk-averse for very low values of wealth. The class contains the well-known exponential...

Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial...

Private pension provision faces the challenging task of providing stable income streams during retirement. The challenge has increased markedly in the last decades due to volatile financial markets, falling interest rates and the withdrawal of employers and external insurers as risk bearers of...

Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that, ceteris paribus, corporate bonds held by investors with...

This paper examines how labor income volatility and social security benefits can influence lifecycle household portfolios. We examine how much the individual optimally saves and where, taking into account liquid financial wealth and annuities, and stocks as well as bonds. Higher labor income...