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DTSTART:20250330T010000
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DTSTART;TZID=Europe/Helsinki:20250327T103000
DTEND;TZID=Europe/Helsinki:20250327T233000
DTSTAMP:20260710T113853
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SUMMARY:Tiziano De Angelis (University of Turin) "A model of strategic sustainable investment"
DESCRIPTION:Quantitative Sustainable Economics and Finance \nTime: 10.30 am\nDate: 27th of March 2025\nRoom 3001 \nTiziano De Angelis (University of Turin) “A model of strategic sustainable investment” \nAbstract : We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time horizon. The firm generates profits with a stochastic dynamics and may spend part of its revenues towards emission reduction (e.g.\, renovating the infrastructure). The firm’s objective is to maximize the discounted expectation of a function of its profits. The investor participates in the profits and may decide to invest to support the firm’s production capacity. The investor uses a profit function which accounts for both financial and environmental factors. Nash equilibria of the game are obtained via a system of variational inequalities. We formulate a general verification theorem for this system in a diffusive setup and construct an explicit solution in the zero-noise limit. Our explicit results and numerical approximations show that both the investor’s and the firm’s optimal actions are triggered by moving boundaries that increase with the total amount of emission abatement. \nJoint work :Caio César Graciani Rodrigues\, Peter Tankov \nOrganizers:  Patricia Crifo\, Emmanuel Gobet\, Peter Tankov\, Gauthier Vermandel\, and Olivier David Zerbib \nSponsors:\nCREST-CMAP \n
URL:https://crest.science/event/tiziano-de-angelis-university-of-turin-a-model-of-strategic-sustainable-investment/
CATEGORIES:Finance-Insurance,Quantitative Sustainable Economics and Finance,Seminars
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DTSTART;TZID=Europe/Helsinki:20250327T113000
DTEND;TZID=Europe/Helsinki:20250327T123000
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UID:17975-1743075000-1743078600@crest.science
SUMMARY:Hélène Mathurin Lung (ESSEC) "Pricing of green regulatory and technological risks"
DESCRIPTION:Quantitative Sustainable Economics and Finance \nTime: 11.30 am\nDate: 27th of March 2025\nRoom 3001 \nHélène Mathurin Lung (ESSEC) “Pricing of green regulatory and technological risks” \nAbstract :I use text analysis of U.S. firms’ press releases to build monthly measures of their exposure to environmental policies and to green technologies. I estimate the associated regulatory risk premium and technological opportunity premium. The time series of these premia reveal two findings. First\, they exhibit a significant negative correlation. Second\, their sign and magnitude depend on the political orientation of the government. Under Democrat administrations\, green policy risk commands a positive premium\, which switches sign under Republican presidents. Firms the most exposed to this risk have expected returns 1.5% higher under Democrats than under Republicans. Similarly\, green innovation is associated with a negative risk premium under Democrat mandates\, which becomes positive under Republicans. The most innovative firms have expected returns 3.5% lower under Democrats than under Republicans. I introduce a tractable consumption-based asset pricing model\, which features both policy and innovation risks as well as their interactions. The model captures well my empirical\nfindings and explains the impact of governments and policy makers on transition risk premia. \n  \nOrganizers:  Patricia Crifo\, Emmanuel Gobet\, Peter Tankov\, Gauthier Vermandel\, and Olivier David Zerbib \nSponsors:\nCREST-CMAP \n
URL:https://crest.science/event/helene-mathurin-lung-essec-pricing-of-green-regulatory-and-technological-risks/
CATEGORIES:Finance-Insurance,Quantitative Sustainable Economics and Finance,Seminars
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