User profiles for Carmine de Franco

Carmine De Franco

Ossiam
Verified email at ossiam.com
Cited by 197

ESG controversies and their impact on performance

C De Franco - The Journal of Investing, 2020 - joi.pm-research.com
This article introduces an aggregated controversy metric—derived from environmental,
social, and governance (ESG) data—that targets specific issues companies face in the …

[HTML][HTML] Sustainable investing: ESG versus SDG

C De Franco, J Nicolle, LA Tran - The Journal of Impact and …, 2021 - jesg.pm-research.com
In this paper, we compare the established ESG-oriented to the more recent SDG-driven
investment strategies in the United States and Europe. We have built cap-weighted portfolios …

Esg investments: Filtering versus machine learning approaches

C De Franco, C Geissler, V Margot… - arXiv preprint arXiv …, 2020 - arxiv.org
We designed a machine learning algorithm that identifies patterns between ESG profiles
and financial performances for companies in a large investment universe. The algorithm …

ESG investments: filtering versus machine learning approaches

V Margot, C Geissler, C De Franco… - Applied Economics and …, 2021 - ideas.repec.org
We designed a machine learning algorithm that identifies patterns between ESG profiles
and financial performances for companies in a large investment universe. The algorithm …

Bayesian learning for the Markowitz portfolio selection problem

C De Franco, J Nicolle, H Pham - International Journal of …, 2019 - World Scientific
We study the Markowitz portfolio selection problem with unknown drift vector in the multi-dimensional
framework. The prior belief on the uncertain expected rate of return is modeled by …

Modelling capacity for systematic equity strategies

C de Franco, L Dumontier - Journal of Asset Management, 2024 - Springer
This paper generalizes the concept of capacity from the portfolio level to the investment
process for systematic equity strategies. Capacity is often understood as the maximum asset …

Portfolio insurance under a risk-measure constraint

C De Franco, P Tankov - Insurance: Mathematics and Economics, 2011 - Elsevier
We study the problem of portfolio insurance from the point of view of a fund manager, who
guarantees to the investor that the portfolio value at maturity will be above a fixed threshold. If, …

[HTML][HTML] Dealing with drift uncertainty: a bayesian learning approach

C De Franco, J Nicolle, H Pham - Risks, 2019 - mdpi.com
One of the main challenges investors have to face is model uncertainty. Typically, the dynamic
of the assets is modeled using two parameters: the drift vector and the covariance matrix, …

Interest rate exposure of volatility portfolios

C De Franco, B Monnier, K Rulik - The Journal of Index …, 2017 - search.proquest.com
The authors assess the exposure of stock portfolios sorted by total volatility to interest rate
risk and determine whether this nonequity risk can explain differences in risk and risk-adjusted …

The robustness of the volatility factor: Linear versus nonlinear factor model

C De Franco, M Guidolin… - The Journal of Index …, 2017 - search.proquest.com
This article investigates the trade-off between an extension of the standard three-factor model
including a new volatility factor compared to a parsimonious Markov switching model in …