"Sustainable investing has recently gained traction throughout the world. This trend has multiple sources, which span from genuine ethical concerns to hopes of performance boosting, and also encompass risk mitigation. The resulting appetite for green assets is impacting the decisions of many...

In this paper, we document the importance of memory in machine learning (ML)-based models relying on firm characteristics for asset pricing. We find that predictive algorithms perform best when they are trained on long samples, with long-term returns as dependent variables. In addition, we...

Chapter 1 ESG dataChapter 2 Investors & SRIChapter 3 ESG investing and financial performanceChapter 4 Quantitative portfolio construction with ESG data and criteriaChapter 5 Climate change riskChapter 6 SRI in economic equilibriaChapter 7 Conclusion

We perform a Laplace transform inversion in the time parameter on the two Wiener-Hopf factors for a spectrally negative tempered stable Lévy process. This yields the issuing price of continuously monitored lookback options. We also propose a simulation technique for the purpose of Monte-Carlo...

We analyze the tail of the sum of two random variables when the dependence structure is driven by the Bernstein family of copulas. We consider exponential and Pareto distributions as marginals. We show that the first term in the asymptotic behavior of the sum is not driven by the dependence...