LMBP-ISM joint workshop

Session

Session: Insurance and Risk

Oct 24, 2023, 4:15 PM

Amphi Hennequin (Laboratoire de Mathématiques Blaise Pascal )

Conveners

Session: Insurance and Risk: TBA

• Gareth Peters (University of California Santa Barbara)

23. Assessing Portfolio Diversification via Two-Sample Graph Kernel Inference.

Ragnar Levi Gudmundarson (Herriot WATT), Gareth W. Peters (University of California Santa Barbara)

10/24/23, 4:15 PM

In this work we seek to enhance the frameworks practitioners in asset management and wealth management may adopt to assess how different screening rules may influence the diversification benefits of portfolios. The problem arises naturally in the area of Environmental, Social, and Governance (ESG) based investing practices as practitioners need to select subsets of the total available assets...