BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:https://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20240331T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20241027T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20240118T110000
DTEND;TZID=Europe/Helsinki:20240118T123000
DTSTAMP:20260710T223546
CREATED:20240112T170437Z
LAST-MODIFIED:20241104T113922Z
UID:16464-1705575600-1705581000@crest.science
SUMMARY:Ruixun Zhang (Peking University)"A Quantitative Approach to Optimal Impact Portfolios"
DESCRIPTION:Quantitative Sustainable Economics and Finance\nTime: 11.00 am\nDate: 18th of January  2023\nRoom 2036 \nRuixun Zhang (Peking University)”A Quantitative Approach to Optimal Impact Portfolios” \nAbstract : We develop a mathematical framework for constructing optimal impact portfolios and quantifying their financial performance by characterizing the returns of impact-ranked assets using induced order statistics and copulas. The distribution of induced order statistics can be represented by a mixture of order statistics and uniformly distributed random variables\, where the mixture function is determined by the dependence structure between residual returns and impact factors—characterized by copulas—and the marginal distribution of residual returns. This representation theorem allows us to explicitly and efficiently compute optimal portfolio weights under any copula. This framework provides a recipe for constructing and quantifying the performance of optimal impact portfolios with arbitrary dependence structures and return distributions. \nOrganizers:  \nPeter TANKOV (CREST) – Olivier David ZERBIB (CREST) \n  \nSponsors:\nCREST \n
URL:https://crest.science/event/ruixun-zhang-peking-universitya-quantitative-approach-to-optimal-impact-portfolios/
CATEGORIES:Finance-Insurance,Quantitative Sustainable Economics and Finance,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR