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蛋黄 · 2023年07月16日

A选项是讲义的哪部分提到的

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2022072902000008

问题如下：

Which of the following is an active quantitative approach to embed ESG within a portfolio?

选项：

A.Weighting ESG as an idiosyncratic factor in a multi-factor stock selection algorithm.

B.Consideration of ESG scoring and relevant metrics in security-specific investment decisions.

C.Minimising tracking error against benchmark indices.

D.Solving the mean-variance optimisation problem to arrive at the best sectors for assetallocation.

解释：

复杂的定量方法将ESG作为专有因子直接嵌入算法模型中，从而推动投资组合的股票选择。

相关的解释是哪一块呢？

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1 个答案

净净_品职助教 · 2023年07月17日

嗨，从没放弃的小努力你好：


第八章墨迹版讲义P169。定量的方法一般是建立专有的多因子模型，这个模型可以是几个因子的组合，也可以是选择其中独特的因子，例如将ESG当作一个独特的因子来建模。每个因子在模型中都有一个权重。

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