ESG data can help produce alpha opportunities and protect from market downturns, data show. Typical issues of an “Exclusion Approach” can be easily overcome by the addition of ESG tilts in the optimization routine. This allows the construction of portfolios that are more diversified, have higher ESG scores and result in a better performance in the long run.
Join this webinar to find out how to make use of Lagrange multipliers to improve the diversification and the ESG profile of financial portfolios.
As a member of the Application Engineering team at MathWorks, Valerio Sperandeo assists customers in the development and deployment of financial applications. He holds a M.Sc. in Quantitative Finance from the University of Perugia with focus on risk and asset management.
Before joining MathWorks, he worked as Analyst at the investment department of a global asset management company. There, he contributed to the development of several tools for risk overlay, portfolio optimization and strategic asset allocation purposes.
Financial data expert, researcher and firm believer in sustainability being a necessity and the key to success in the 21st century. Concerned about climate change. Constantly exploring how the combination of technology, finance and data can help to foster a circular economy. Barnabas holds a Bachelors in Marketing & Market Research, a Masters in Financial Accounting and a Ph.D. in Statistics and Econometrics.
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