Sustainable Investing and Asset Allocation at Global Scale

Satyajit Bose (), Guo Dong () and Anne Simpson ()
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Satyajit Bose: Columbia University
Guo Dong: Columbia University
Anne Simpson: CalPERS

Chapter Chapter 10 in The Financial Ecosystem, 2019, pp 225-251 from Palgrave Macmillan

Abstract: Abstract We describe the narrative framework called modern portfolio theory, including mean-variance optimization, the capital asset pricing model, arbitrage pricing theory, and the efficient markets hypothesis, that serves as a foundation for asset allocation and performance attribution in the investment management industry. We evaluate its key assumptions and implications. We then examine the financial and social objectives of universal asset owners and their methods of achieving those goals. In practice, sustainable portfolio choice requires a consideration of a far wider set of systemic risk factors than is dreamt of in modern portfolio theory, solutions to the principal-agent problem in financial intermediation and investor efforts at addressing collective action problems.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:pal:psifcp:978-3-030-05624-7_10

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DOI: 10.1007/978-3-030-05624-7_10

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