This paper investigates the carbon risk and its role in stocks’ return prediction by identifying information implied feature engineering. We predict stock returns with different neural networks, construct investment portfolio according to predicted reflect of stocks risks through relevant evaluation portfolio. Our Multi-CNN method can best collect on relationship types make full use graph struc...

Many portfolio managers measure performance with reference to a benchmark. The difference in return between a portfolio and its benchmark is the active return of the portfolio. Portfolio managers and their clients want to know what caused this active return. Performance attribution decomposes the active return. The two most common approaches are the Brinson-Hood-Beebower (hereafter referred to ...

Many portfolio managers measure performance with reference to a benchmark. The difference in return between a portfolio and its benchmark is the active return of the portfolio. Portfolio managers and their clients want to know what caused this active return. Performance attribution decomposes the active return. The two most common approaches are the Brinson-Hood-Beebower (hereafter referred to ...

We introduce a class of Bayesian infinite mixture models first introduced by Lo (1984) to determine the credibility premium for a non-homogeneous insurance portfolio. The Bayesian infinite mixture models provide us with much flexibility in the specification of the claim distribution. We employ the sampling scheme based on a weighted Chinese restaurant process introduced in Lo et al. (1996) to e...

Federal Reserve Bank of Atlanta E C O N O M I C R E V I E W Second Quarter 2002 D o financial markets offer higher rewards in the form of average returns for holding risks related to recessions and financial distress in addition to the risks from overall market movements? The answer to this question is related to the way financial economists understand the investment world. Fifteen years ago, f...

The main business of banks and insurance companies is risk. Banks and financial institutions lend money, running the risk of losing the lended amount, and they borrow “short money” having less risk but higher expected rates of return. Insurance companies on the other hand earn a risk premium for guaranteeing indemnifification for a negative outcome of a certain event. The evaluation of risk is ...

We build a general equilibrium dynamic model in which individual investors are endowed with “warm-glow” preferences à la Andreoni (1990) so that they feel partly responsible for the pollution content of their portfolio. Through investors’ portfolio choice, firms induced to engage costly abatement activities, given higher also implies cost capital. In this scenario, we characterize economy and i...