Sustainable investment revisited: Enhancement and Integration

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Type and Duration

Preproposal PhD-Thesis, since September 2020

Coordinator

Chair in Business Administration, Banking and Financial Management

Main Research

Wealth Management

Field of Research

Banking and Finance

Description

The dissertation consists of three papers, which focus on quantitative methods to utilize sustainability in financial management. Although, sustainability is not in scope of the first paper, we adopt parts of the methodology and data retrieval process for the second and third paper.

The first paper examines the connection between uncertainty and momentum to eradicate the time varying risk momentum crashes. Thus, we propose a new momentum strategy, which remains unaffected by financial turbulences. Moreover, classical asset pricing models struggle to explain the generated returns of the strategy in several international markets and regions.

The second paper contributes to the ongoing discussion about ESG momentum. We shed light on the long-term sustainable development of portfolios and underlying constituents utilized by the strategy. Thus, the paper overs valuable insights for professionals about the sustainable consequences of this strategy.

In the third paper, we propose another approach to integrate ESG and thus sustainability in the portfolio formation process. In detail, we propose the parametric portfolio approach with ESG as input parameter. Thus, we offer practitioners a potential alternative to the conventional methods.