The Institute of Finance at PUEB is pleased to announce the 1^st Online Seminar in Finance.

Speaker: Guillaume Coqueret, Emlyon Business School

Date: April 29th, 2022, 11:00 (Warsaw time)

Title: Scope 3 Emissions and Their Impact on Green Portfolios

Abstract: The aim of this paper is to study the performance of carbon-based portfolios when all emissions scopes are accounted for. We formalize low-carbon portfolio strategies by integrating a carbon intensity penalty to a constrained mean-variance optimization framework. To do so, we resort to direct and indirect emissions data, split between Scopes 1-2 and Scope 3. Our empirical results show that it is possible to cut emission intensities in half at least with virtually no loss in Sharpe ratio for reasonable levels of the carbon constraint. These results are valid across various choices of risk aversions, and irrespective of emissions data provider. For a sustainability-aware investor, these low-carbon portfolios are associated to a higher level of welfare compared to their traditional counterpart. We find that the corresponding allocations are shifted towards assets with higher returns while keeping the portfolio’s volatility unchanged. Overall, our results add to the literature contending that sustainable investing is not costly.

Speaker’s bio: Guillaume Coqueret is Associate Professor of Finance and Data Science at EMLYON Business School. He obtained his PhD from ESSEC Business School and Univ. Lille 1, and previously served positions at EDHEC-Risk Institute and Montpellier Business School. His recent research revolves around applications of machine learning tools in financial economics. His works have been published in top journals such as Journal of Economic Dynamics & Control, Journal of Banking and Finance, Expert Systems With Applications, European Journal of Operational Research, and Journal of Portfolio Management. He is also an author of excellent textbooks on machine learning.