Top-Down Portfolio Implications of Climate Change

Tokat-Acikel, Yesim; Aiolfi, Marco; Johnson, Lorne D.; Hall, John; Jin, Jiashun

doi:10.3905/jpm.2021.1.279

Cited by 2 publications

(1 citation statement)

References 20 publications

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“…Climate change has become a permanent long-term systemic risk. Regulators, consumers, and investors are becoming increasingly concerned about sustainability, which is driving a paradigm shift in investment and wealth management practices; see Fang et al (2019), Focardi & Fabozzi (2020), Benedetti et al (2021), Tokat-Acikel et al (2021) and Marupanthorn et al (2022). At a macroeconomic level, the majority of G10 countries and United Nations member states are increasingly focusing on developing targets and strategies to incentivise the transition toward a low carbon economy globally via frameworks such as the Sustainable Development Goals (SDGs) 1 and the 2030 Agenda (Miralles-Quirós & Miralles-Quirós, 2021).…”

Section: Introduction To Divfolio Applicationmentioning

confidence: 99%

DivFolio: a Shiny application for portfolio divestment in green finance wealth management

Marupanthorn,

Peters,

Ofosu-Hene

et al. 2024

Ann. actuar. sci.

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This paper introduces DivFolio, a multiperiod portfolio selection and analytic software application that incorporates automated and user-determined divestment practices accommodating Environmental Social Governance (ESG) and portfolio carbon footprint considerations. This freely available portfolio analytics software tool is written in R with a GUI interface developed as an R Shiny application for ease of user experience. Users can utilize this software to dynamically assess the performance of asset selections from global equity, exchange-traded funds, exchange-traded notes, and depositary receipts markets over multiple time periods. This assessment is based on the impact of ESG investment and fossil-fuel divestment practices on portfolio behavior in terms of risk, return, stability, diversification, and climate mitigation credentials of associated investment decisions. We highlight two applications of DivFolio. The first revolves around using sector scanning to divest from a specialized portfolio featuring constituents of the FTSE 100. The second, rooted in actuarial considerations, focuses on divestment strategies informed by environmental risk assessments for mixed pension portfolios in the US and UK.

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