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“Bridging the theory & practice of investment management”
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4th Quarter (2022)

0 comments / 2022-12-07 / the JOIM

Book Review: Where the Money Is: Value Investing in the Digital Age

Vol.20, No. 4, 2022 by Adam Seessel (Reviewed by Anitya Gupta) Mark Kritzman, Senior Editor Where the Money Is: Value Investing in the Digital Age View PDF… Read more

0 comments / 2022-12-07 / the JOIM

Case Study: ESG Greenwashing and Recent Sec Actions

Vol. 20, No. 4, 2022 Ye Cai and Seoyoung Kim “Case Studies” presents a case pertinent to contemporary issues and events in investment management. Insightful and provocative questions are posed at the end of each case to challenge the reader. Each case is an invitation to the critical thinking and pragmatic problem solving that are… Read more

0 comments / 2022-12-07 / the JOIM

Insight: Bias and Noise in Humans & AI: When to Trust Humans & Machines in Decision-Making .

Vol. 20, No. 4, 2022 Vasant Dhar When should we trust machine-based and human decisions in finance? In this article I answer this question by drawing on two sets of insights about decision error. I first draw on research of leading theorists on human decision-making and prediction, summarized through a set of articles and conversations… Read more

0 comments / 2022-12-07 / the JOIM

ESG Screening in the Fixed-Income Universe

Vol. 20, No. 4, 2022 by Fabio Alessandrini, David Baptista Balula and Eric Jondeau This paper evaluates the impact of a screening process based on Environmental, Social, and Governance (ESG) scores for an otherwise passive portfolio of investment-grade corporate bonds. The main result is that a global exclusion strategy leads to a substantial improvement of… Read more

0 comments / 2022-12-07 / the JOIM

Climate-Aware Risk Budgeting

Vol. 20, No. 4, 2022 by Brian Jacobsen, Eddie Cheng and Wai Lee Climate change is a risk investors are thinking about, but how can it be practically incorporated into an asset allocation framework? This paper presents two different approaches. One is a traditional approach where the covariance matrix and excess return vector is adjusted… Read more

0 comments / 2022-12-07 / the JOIM

Factor Investing in Paris: Managing Climate Change Risk in Portfolio Construction

Vol. 20, No. 4, 2022 Janina Kolle, Harald Lohre, Erhard Radatz and Carsten Rother The 2015 Paris Agreement is a landmark in limiting emissions and targeting global warming well below 2◦C, preferably 1.5◦C compared to pre-industrial levels. In this light, we investigate how to efficiently construct equity portfolios that help mitigating climate change risk but… Read more

0 comments / 2022-12-07 / the JOIM

ESG Investment Performance Evaluation: An Integrated Approach

Vol. 20, No. 4, 2022 Stephen Horan, Elroy Dimson, Clive Emery and Kenneth Blay ESG investment strategies have experienced a massive inflow of capital over the past decade despite investors having few methods to evaluate their performance and communicate their ESG values, objectives, and preferences to investment managers. This paper develops a three-dimensional performance evaluation… Read more

0 comments / 2022-12-07 / the JOIM

Carbon Emissions and Asset Management

Vol. 20, No. 4, 2022 by Ashwin Alankar and Myron Scholes Two common methods that portfolio managers use to reduce the carbon footprint of their portfolios are either to exclude carbon emitters from their portfolios or to engage/cajole underlying companies to reduce their carbon footprint by taking actions to reduce emissions. We estimate the costs… Read more

0 comments / 2022-12-07 / the JOIM

Practitioner’s Digest

Vol. 20, No. 4, 2022 The “Practitioner’s Digest” emphasizes the practical significance of manuscripts featured in the “Insights” and “Articles” sections of the journal. Readers who are interested in extracting the practical value of an article, or who are simply looking for a summary, may look to this section. View PDF… Read more

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