Beatrice Bertelli

Progetto di ricerca
Sustainable investing: Beyond or behind ESG?

Against the background of the UN 2030 Agenda and Principles for Responsible Investment, the project addresses three main issues in sustainable finance encompassing different types of assets (bonds and stocks) and different models (pricing and portfolio). The first issue is the pricing of green bonds, which is central to green finance. The second issue is the performance of stock portfolios based on screening strategies and ESG (Environmental, Social and Governance) scores. The third issue is the setup of an optimal stock portfolio compliant with ESG standards. The first part of the project contributes to the literature on green bonds by proposing an original model for bond pricing, which accounts for a systemic green risk factor. The second part, which is framed within the literature on socially responsible investments (SRI), specifically contributes to the literature on the stock portfolio performance of screening strategies based on ESG scores. The last part aims to address the optimal portfolio allocation problem over a sample of stocks by taking into account also non (strictly) financial aspects such as the ESG dimension.  

Pubblicazioni

• Bertelli B., Boero G., Torricelli C., 2021, The market price of greenness: a factor pricing approach for Green Bonds, Working Paper Cefin N.83, June

• Bertelli B., Torricelli C., 2022, ESG screening strategies and portfolio performance: how do they fare in periods of financial distress?, Working Paper Cefin N. 87, June

• Bertelli B., Torricelli C., 2022, ESG compliant optimal portfolios: The impact of ESG constraints on portfolio optimization in a sample of European stocks, Working Paper Cefin N. 88, October