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Essays on Portfolio Optimization and ESG Ratings under Risk Constraints and Incomplete Information

Dissertationsschrift
BuchKartoniert, Paperback
244 Seiten
Englisch
Lehmanns Mediaerschienen am09.08.2024
In dieser Arbeit analysieren wir verschiedene Probleme von dynamischen Portfoliooptimierungen sowie grünen Kapitalbeschränkungen unter Risikorestriktionen und unvollständigen Informationen.In this thesis, we analyze various problems of dynamic portfolio optimization as well as green capital requirements under risk constraints and incomplete information. First, we examine the problem of optimal expected utility under the constraint of a utility-based shortfall risk measure in an incomplete market. The existence and uniqueness of an optimal solution to the problem are shown using a Lagrange multiplier and duality methods. Second, we consider the optimization problem under various levels of the investor's information. By using martingale representation theorems, we demonstrate the existence and uniqueness of optimal solutions, which differ in their market dynamics. Third, we analyze the effects of green- and brownwashing on banks' lending to firms, on the regulator's deposit insurance subsidy, and on carbon emissions under different green capital requirement functions. Furthermore, we show that green capital requirements may compromise financial stability.mehr
Verfügbare Formate
BuchKartoniert, Paperback
EUR24,95
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Produkt

KlappentextIn dieser Arbeit analysieren wir verschiedene Probleme von dynamischen Portfoliooptimierungen sowie grünen Kapitalbeschränkungen unter Risikorestriktionen und unvollständigen Informationen.In this thesis, we analyze various problems of dynamic portfolio optimization as well as green capital requirements under risk constraints and incomplete information. First, we examine the problem of optimal expected utility under the constraint of a utility-based shortfall risk measure in an incomplete market. The existence and uniqueness of an optimal solution to the problem are shown using a Lagrange multiplier and duality methods. Second, we consider the optimization problem under various levels of the investor's information. By using martingale representation theorems, we demonstrate the existence and uniqueness of optimal solutions, which differ in their market dynamics. Third, we analyze the effects of green- and brownwashing on banks' lending to firms, on the regulator's deposit insurance subsidy, and on carbon emissions under different green capital requirement functions. Furthermore, we show that green capital requirements may compromise financial stability.
Details
ISBN/GTIN978-3-96543-505-6
ProduktartBuch
EinbandartKartoniert, Paperback
Erscheinungsjahr2024
Erscheinungsdatum09.08.2024
Seiten244 Seiten
SpracheEnglisch
Artikel-Nr.56557324
Rubriken
GenreWirtschaft