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

Oliver Janke

doi:10.58662/9783965435063

Summary

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.

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Bibliographic data

Edition: 1/2024
Copyright year: 2024
ISBN-Print: 978-3-96543-505-6
ISBN-Online: 978-3-96543-506-3
Publisher: Lehmanns Media, Berlin
Language: German
Pages: 230
Product type: Book Titles

Titelei/Inhaltsverzeichnis No access Pages a - IV
1. 1.1 Motivation No access
2. 1.2 Summary of Chapter 2 No access
3. 1.3 Summary of Chapter 3 No access
4. 1.4 Summary of Chapter 4 No access
5. 1.5 Acknowledgments No access
1. 2.1 Preliminaries No access
2. 1. 2.2.1 Financial market No access
  2. 2.2.2 Utility functions No access
  3. 2.2.3 Risk measures No access
  4. 2.2.4 Optimization problem No access
3. 1. 2.3.1 Conditions on the asymptotic elasticity No access
  2. 2.3.2 Main theorem No access
4. 1. 2.4.1 Main theorem No access
  2. 2.4.2 Extensions in the Black-Scholes market No access
  3. 2.4.3 Examples No access
5. 2.5 Concluding remarks No access
1. 3.1 Preliminaries No access
2. 1. 3.2.1 Generated filtrations No access
  2. 3.2.2 Optimization problem No access
3. 1. 3.3.1 The initially enlarged filtrations No access
  2. 3.3.2 The progressively enlarged Brownian filtrations No access
  3. 3.3.3 The price process filtration No access
  4. 3.3.4 Utility indifference value No access
4. 3.4 Concluding remarks No access
1. 4.1 Preliminaries No access
2. 1. 4.2.1 Market participants No access
  2. 4.2.2 Imperfect information No access
3. 1. 4.3.1 Over- and underestimating of firm types No access
  2. 4.3.2 The effect of green- and brownwashing No access
  3. 4.3.3 The effect of jumps in ESG ratings No access
  4. 4.3.4 Optimal behavior of the regulator No access
4. 4.4 Extensions No access
5. 4.5 Concluding remarks No access
A Publication Details No access Pages 161 - 164
1. B.1 Optimal investment and consumption No access
1. C.1 Existence of Lagrange multipliers No access
1. D.1 Proofs No access
2. D.2 Extra-ordinary cases No access
3. D.3 Funding to firms depending on the size of equity No access
4. D.4 Common capital requirement function No access
5. D.5 Capital requirements as step functions No access
Bibliography No access Pages 219 - 230