量化前沿速递：FOF及资配[20240901]

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机器翻译，仅供参考！可使用微信自带翻译功能自行翻译 更多文献获取请关注公众号：量化前沿速递 获取 文献链接/翻译/pdf 请加入知识星球“ 量化前沿速递 ” 文献汇总 [1] Equilibrium Expected Returns of SRI and ESG Leaders Stocks SRI和ESG领军股票的均衡预期回报 来源:SSRN_20240901 [1] Equilibrium Expected Returns of SRI and ESG Leaders Stocks 标题:SRI和ESG领军股票的均衡预期回报 作者:Bob Galesloot 来源:SSRN_20240901 Abstract : We compute equilibrium expected returns for top-quartile, second-quartile, and bottom-half ESG-scoring components of standard equity indices. We find that equilibrium expected returns are slightly lower for index components that score higher on ESG.......(摘要翻译及全文见知识星球) Keywords : Capital market assumptions, Black-Litterman model, stocks, SRI, ESG ………………………………