Balancing Returns and Responsibility: Evidence from Shrinkage-based Portfolios
Details
The Financial Management Association (FMA) Annual Meeting will be in Chicago the 11th of October through the 14th. This brings R/Finance-regular, Prof. Majeed Simaan, to town who is gracious enough to give a talk for CRUG. Join us in the friendly confines of Roosevelt University.
Following the meetup (~7:30pm), we'll be gathering at Exchequer or 2Twenty2 Tavern, conveniently located at 222 S Wabash, where you can enjoy drinks and snacks at your own expense.
Speakers
Dr. Majeed Simaan
Balancing Returns and Responsibility: Evidence from Shrinkage-based Portfolios.
Dr. Simaan will discuss a recent study that incorporates ESG scores into portfolio selection and shows that shrinkage-based rules using returns only yield better out-of-sample risk-adjusted returns and ESG outcomes than ESG-based rules. His findings demonstrate that too much emphasis on ESG can lead to high turnover and inconsistent performance.