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Saam Slide l1
Saam Slide l1
Université de Lausanne
SUSTAINABILITY AWARE
ASSET MANAGEMENT
Eric Jondeau
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 1/50
SAAM
Lecture 1: General Problem of Asset Management
Eric Jondeau
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 2/50
Objectives of the lecture
Major step in the direction of quantitative management of portfolios: Markowitz
(1952, J. Finance): How an investor should allocate her wealth between assets when
returns are normal? The optimization problem reduces to a simple mean-variance
criterion.
The mean-variance criterion provides a framework to construct and select portfolios,
based on expected performance of investments and risk appetite of investors, following
the diversification principle.
- Market efficiency
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 3/50
Objectives of the lecture
- Portfolio Optimization
- Market Efficiency
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 4/50
What Is Sustainable Finance?
Sustainable finance: process of taking environmental, social and governance (ESG)
considerations into account when making investment decisions in the financial sector,
leading to more long-term investments in sustainable economic activities and projects.
Source: https://finance.ec.europa.eu/sustainable-finance/overview-sustainable-finance_en
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 5/50
Sustainable Finance taxonomy
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 6/50
Why Is Sustainable Finance Important?
• Financial systems have a major impact on how societies allocate resources and
shape the future
• Sustainable investing covers a range of activities, from putting cash into green
energy projects to investing in companies that demonstrate social values such as
social inclusion or good governance
• Sustainable finance has a key role to play in the world’s transition to a net-zero
economy by channeling private money into carbon-neutral projects (European
Union)
• EU Green Deal Investment Plan aims to raise $1.14 trillion to help pay the cost of
making Europe net zero climate change emissions by 2050
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 7/50
How Big Is Sustainable Finance?
https://www.unpri.org/about-us/about-the-pri
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 8/50
Examples of Sustainable Finance
• Excluding firms that do not satisfy certain sustainable criteria
Ex: firms that violate human rights, cause severe environmental damage, or are
involved in the production of weapons of mass destruction
Ex: through individual meetings with a firm's management or more passively and at
scale through voting on shareholder proposals at AGMs
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 9/50
Challenges and Opportunities
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 10/50
Objectives of the course
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 11/50
ESG investing versus Climate investing
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 12/50
Values versus Impact
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 13/50
Exclusion versus Engagement
Best-in-class approach vs Engagement with firms
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 14/50
Impact on climate versus Impact on firms
Responsibility of the firms and their Firms and investors are exposed to
investors relative to climate change climate risk
Asset management question Risk management question
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 15/50
Cost of exclusion versus price impact
Cost of exclusion strategy vs Price impact of exclusion strategy
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 16/50
Objectives of the lecture
è Portfolio Optimization
- Capital Asset Pricing Model
- Market Efficiency
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 17/50
Major Steps in Asset Management
• Market efficiency (Fama, 1965): If markets are efficient, abnormal returns should
be unpredictable
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 18/50
Major Steps in Asset Management
What is the optimal decision What makes a difference Can we predict stock
of individual investors? between stock returns today? returns for tomorrow?
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 19/50
Utility Function
The objectives of an individual with current wealth 𝑊!"# are:
Three premises:
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 20/50
Utility Function
Constant absolute risk aversion (CARA)
$ !! (&)
The coefficient of absolute risk aversion is defined as: 𝑎(𝑊 ) = −
$ ! (&)
satisfies the requirement that the coefficient of relative risk aversion 𝜌(𝑊 ) = 𝛾 > 0 is
constant, i.e., independent from the initial wealth.
Remark: The case 𝛾 = 1 corresponds to the logarithmic utility 𝑈(𝑊 ) = log (𝑊).
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 21/50
Single-Period Optimization Problem
The investor maximizes the expected utility 𝐸[𝑈(𝑊!"# )] of the next-period wealth.
,
There are N assets, with vector of simple returns 𝑅!"# = 9𝑅#,!"# , … , 𝑅+,!"# < .
There are no costs for short selling.
The beginning-of-period wealth is set arbitrarily equal to 𝑊! = 1.
,
Next-period wealth is given by 𝑊!"# = (1 + 𝛼!, 𝑅!"# )𝑊! , where 𝛼! = 9𝛼#,! , … , 𝛼+,! < is
the vector of the fractions of wealth allocated to each asset, with the constraint 𝛼!, 𝑒 = 1.
Therefore, the simple return on the portfolio is given by: 𝑒 = (1, … ,1)′
+
𝑅-,!"# (𝛼! ) = @ 𝛼.,! 𝑅.,!"#
./#
If a risk-free asset is available for unlimited borrowing or lending at rate 𝑅0,! , the simple
return on the portfolio is given by
+
𝑅-,!"# (𝛼! ) = 𝑅0,! + @ 𝛼.,! (𝑅.,!"# − 𝑅0,! ) = 𝑅0,! + 𝛼!, (𝑅!"# − 𝑅0,! 𝑒)
./#
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 22/50
Single-Period Optimization Problem
The optimal portfolio weights are obtained by maximizing the scaled expected utility
𝛼!∗ = arg max 𝐸[𝑈(1 + 𝛼 , 𝑅!"# )]
2
where 𝑈 (#) is the first derivative of the utility function and 𝑅G.,!"# = 𝑅.,!"# − 𝑅0,! is the
vector of returns of assets 1 to n in excess of the risk-free asset.
𝐸H𝑈 (#) (𝑊!"# ) × 𝑅G!"# I = ∫ … ∫(𝑈 (#) (𝑊!"# ) × 𝑅G!"# )𝑓9𝑅G!"# <𝑑𝑅G#,!"# … 𝑑𝑅G+,!"#
where 𝑓9𝑅G!"# < denotes the joint distribution of the vector of excess returns at time t+1.
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 23/50
Single-Period Optimization Problem
For strictly concave objective functions, first-order conditions are necessary and
sufficient conditions.
But:
- N multiple integrals
- Numerical solution is easy to obtain for small N but more difficult for large N
Another important issue in solving this optimization problem is the forecasting of the
expected returns and of the covariance matrix.
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 24/50
Mean-Variance Optimization
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 25/50
Notations
Assume that we have N risky securities.
7
𝜎#,!"# … 𝜎#+,!"#
Covariance matrix: Σ!"# = 𝐸[(𝑅!"# − 𝜇!"# )(𝑅!"# − 𝜇!"# ), ] = O ⋮ ⋱ ⋮ S
7
𝜎#+,!"# … 𝜎+,!"#
7
Ex-ante portfolio variance: 𝜎-,!"# = 𝑉H𝑅-,!"# I = 𝛼!, Σ!"# 𝛼! = ∑+ ∑ +
./# 8/# 𝛼.,! 𝛼8,! 𝜎.8,!"#
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 26/50
Mean-Variance Case
The exact mean-variance case
The nice case: exponential utility and normal returns. The exponential utility is
Let 𝜇!"# be the vector of expected returns and Σ!"# the covariance matrix. If X is
𝑁(𝑎, 𝑏 7 ), then 𝐸 [exp(𝑋)] = exp(𝑎 + 𝑏 7 /2).
𝝀
So, maximizing 𝑬[𝑼(𝑾𝒕"𝟏 )] is equivalent to maximizing (𝝁𝒑,𝒕"𝟏 − 𝝈𝟐𝒑,𝒕"𝟏 ).
𝟐
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 27/50
Mean-Variance Case
The approximate mean-variance case
Another approach is to express the expected utility function as a Taylor series expansion
b = 𝑊! (1 + 𝑅0,! ). The utility function is approximated by an expansion up the
around 𝑊
second order:
1 (7)
b (#) b b
𝑈(𝑊!"# ) = 𝑈(𝑊 ) + 𝑈 (𝑊 )(𝑊!"# − 𝑊 ) + 𝑈 (𝑊 b )(𝑊!"# − 𝑊
b )7 + 𝜀
2
so that the expected utility is simply approximated by
1 (7)
( ) ( b )
𝐸[𝑈 𝑊!"# ] ≈ 𝑈 𝑊 + 𝑈 (#) b
( b
𝑊 𝐸[𝑊!"# − 𝑊 ] + 𝑈 (𝑊
) b )𝐸 [𝑊!"# − 𝑊b ]7
2
1 (7 )
b (# ) b
≈ 𝑈(𝑊 ) + 𝑈 (𝑊 )𝑊! 𝐸[𝑅-,!"# − 𝑅0 ] + 𝑈 (𝑊 b )𝑊!7 𝜎-,!"#
7
2
𝜆
Maximizing 𝐸[𝑈(𝑊!"# )] is equivalent to maximizing ef𝜇𝑝,𝑡+1 − 𝑅𝑓,! g − 𝜎2𝑝,𝑡+1 h, where
2
b )/𝑈 (#) (𝑊
𝜆 = −𝑊! 𝑈 (7) (𝑊 b ) is the relative risk aversion parameter.
Remark: The mean-variance criterion completely describes 𝐸[𝑈] only for 2-parameter
distributions such as the Gaussian or the Uniform distributions.
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 28/50
Mean-Variance Case (Markowitz, 1952)
The solution without a risk-free asset
Are we indifferent between all these portfolios? It depends on our risk aversion and
therefore on how we trade-off risk and return.
When there is no risk-free asset, we must take care of the constraint 𝛼!, 𝑒 = 1.
γ: Lagrange multiplier
#
Step 1: 𝜇 − 𝜆Σ𝛼 − 𝛾𝑒 = 0 è 𝛼 = Σ (# (𝜇 − 𝛾𝑒)
>
#
Step 2: 𝑒 , 𝛼 = 𝑒′Σ (# (𝜇 − 𝛾𝑒) = 1 è 𝑒 , Σ (# 𝜇 − 𝛾𝑒 , Σ (# 𝑒 = 𝜆
>
A ! B#" C(>
è 𝛾=
A ! B#" A
# (# ( # (# # (# A ! B#" C(>
Step 3: 𝛼 = Σ 𝜇 − 𝛾𝑒) = Σ 𝜇− Σ 𝑒
> > > A ! B#" A
# (# B#" A # (# A ! B#" C
𝛼= Σ 𝜇+ − Σ 𝑒
> A ! B#" A > A ! B#" A
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 30/50
Mean-Variance Case (Markowitz, 1952)
The solution without a risk-free asset
Proposition: When there is no risk-free asset and no restriction on portfolio weights, the
weights of the optimal portfolio are:
(# , (# , (#
Σ 𝑒 1 𝑒 Σ 𝜇 1 𝑒 Σ 𝜇
𝛼 ∗ = , (# + Σ (# o𝜇 − , (# 𝑒p = 𝛼DEF
∗
+ Σ (# o𝜇 − , (# 𝑒p
𝑒Σ 𝑒 𝜆 𝑒Σ 𝑒 𝜆 𝑒Σ 𝑒
We obtain the well-known Mutual Fund Separation Theorem. Investors invest in:
∗ B#" A A ! B#" C
- the global minimum-variance portfolio: 𝛼DEF = with weight f1 − g
A ! B#" A >
∗ B#" C A ! B#" C
- the speculative portfolio: 𝛼GHIJ = with weight f g
A ! B#" C >
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 31/50
Mean-Variance Case (Markowitz, 1952)
The solution without a risk-free asset – Alternative derivations
An investor minimizing the portfolio variance subject to a return constraint or
maximizing the portfolio return subject to a volatility constraint will find the same
solution (with no particular value for the risk aversion parameter):
min 𝜎-7 = α, Σ α max 𝜇- = α, 𝜇
q K or q K
,
s. t. 𝜇- ≥ 𝜇w- and 𝛼 𝑒 = 1 s. t. 𝜎- ≤ 𝜎w- and 𝛼 , 𝑒 = 1
Proposition: When there are no restrictions on the portfolio weights, the weights of the
minimum variance portfolio (MVP) for a required return µ! p are:
𝛼 ∗ = Λ# + Λ 7 𝜇w-
B#" B#"
where Λ# = [𝐵𝑒 − 𝐴𝜇 ] and Λ7 = [𝐶𝜇 − 𝐴𝑒]
L L
with 𝐴 = 𝑒 , Σ (# 𝜇, 𝐵 = 𝜇, Σ (# 𝜇 , 𝐶=𝑒Σ , (#
𝑒 and 𝐷 = 𝐵𝐶 − 𝐴7 .
The collection of MVPs for various 𝜇w- gives the mean-variance efficient frontier
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 32/50
Mean-Variance Case (Markowitz, 1952)
The efficient frontier
The efficient frontier is given by the relation:
𝐴 𝐷 7 1
𝜇w- = + • e𝜎w − h
𝐶 𝐶 - 𝐶
Remarks:
- Any portfolio of MVPs is also an MVP.
- The covariance between two efficient MVPs is always positive.
- The Global Minimum Variance Portfolio (Global MVP) is given by
B#" A O #
𝛼M = with 𝜇M = and 𝜎M7 =
N N N
- The covariance of any asset or portfolio return 𝑅- with the Global MVP is
#
𝐶𝑜𝑣(𝑅M , 𝑅- ) =
N
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 33/50
Mean-Variance Case (Markowitz, 1952)
Mean-variance efficient frontier
𝜇)
Mean variance
efficient frontier
Any efficient
portfolio p
Global MVP
Uncorrelated
portfolio (zero-
beta portfolio)
𝜎)
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 34/50
Mean-Variance Case (Tobin, 1958)
The solution with a risk-free asset
There is a risk-free asset, which the investor can borrow or lend with unlimited amount.
The solution is the portfolio weight 𝛼 ∗ that maximizes:
𝜆 7 , ,
𝜆 ,
𝜇- − 𝜎- = [𝛼 𝜇 + (1 − 𝛼 𝑒)𝑅0 ] − 𝛼 Σ𝛼
2 2
Proposition: If there is a risk-free asset, the weights of the optimal portfolio are:
#
𝛼 ∗ = Σ (# (𝜇 − 𝑅0 𝑒) in risky assets
>
The sum of the 𝛼 ∗ does not necessarily sum to 1, because the investor can hold some
amount of risk-free asset. The set of all portfolios when 𝜆 varies is called the Capital
Allocation Line.
7
Remark: If there is one risky asset only (𝜇P , 𝜎P ), then 𝛼 ∗ = (𝜇P − 𝑅0 )/(𝜆𝜎P
7
)
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 35/50
Mean-Variance Case (Tobin, 1958)
The solution with a risk-free asset – Alternative derivation
An investor minimizing the portfolio variance subject to a return constraint will find the
same solution:
Proposition: If there is a risk-free asset, the weights of the risky assets in the optimal
portfolio for a required return 𝜇w- are:
∗
𝜇w- − 𝑅0 (# A 𝛾 (# A
𝛼 = A, (# A Σ 𝜇 = Σ 𝜇
𝜇 Σ 𝜇 2
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 36/50
Mean-Variance Case (Tobin, 1958)
The solution with a risk-free asset – Alternative derivation
Tobin’s Two-fund Separation Theorem: Every mean-variance efficient portfolio is a
combination of the risk-free asset and the tangency portfolio with weight:
𝛼∗ Σ (# 𝜇A
𝛼 Q = , ∗ = , (# A where 𝜇A = 𝜇 − 𝑅0 e
𝑒𝛼 𝑒Σ 𝜇
𝜇A ′Σ (# 𝜇A 𝜇A ′Σ (# 𝜇A
𝜇 Q − 𝑅0 = 𝛼 Q, 𝜇A = , (# A and 𝜎Q7 = 𝛼 Q, Σ 𝛼 Q = , (# A 7
𝑒Σ 𝜇 (𝑒 Σ 𝜇 )
𝜇 Q − 𝑅0 ,
†
= 9𝜇 − 𝑅0 𝑒< Σ (# (𝜇 − 𝑅0 𝑒)
𝜎Q
Remark: The tangency portfolio is the risky portfolio with the maximum Sharpe ratio
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 37/50
Mean-Variance Case (Tobin, 1958)
Mean-variance efficient frontier
Capital market line
𝜇)
Maximum
Sharpe ratio Mean variance
efficient frontier
Tangency
portfolio (T)
Rf
𝜎)
Remark: The tangency portfolio is the risky portfolio with the maximum Sharpe
ratio. It is often referred to as the market portfolio (true at equilibrium).
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 38/50
Objectives of the lecture
- Portfolio Optimization
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 39/50
Market Equilibrium and CAPM
In the previous analysis, expected excess returns are given and assumed to be known by
all investors.
In fact, 𝜇A should result from the confrontation of supply and demand, i.e., it should be
consistent with an equilibrium model.
The CAPM (Capital Asset Pricing Model) provides such an equilibrium model and
established where expected excess returns are coming from.
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 40/50
Market Equilibrium and CAPM
Assumptions
A1. Investors are price-takers (believe that security prices are unaffected by their own
trades)
A2. All investors plan for one identical holding period. This behavior is myopic asit
ignores everything that might happen after the end of the single-period horizon
A3. Investments are limited to a universe of publicly traded financial assets, such as
stocks and bonds, and to risk-free borrowing or lending. Investors may borrow or lend
any amount at the risk-free rate
A4. Investors pay no taxes on returns and no transaction costs on trades in securities
A5. All investors are rational mean-variance optimizers, meaning that they all use the
Markowitz/Tobin portfolio selection model
A6. Homogeneous expectations: All investors use the same expected returns and
covariance matrix of security returns to generate the efficient frontier and the unique
optimal risky portfolio. They may have different aversion to risk
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 41/50
Market Equilibrium and CAPM
Results
R1. All investors will hold the same market portfolio (M), which is a market-value-
weighted portfolio of all existing securities
R2. Not only will the market portfolio be on the efficient frontier, but it also will be the
tangency portfolio to the optimal capital allocation line derived by each investor.
As a result, the capital market line (CML), the line from the risk-free rate through
the market portfolio, M, is also the best attainable capital allocation line.
All investors hold M as their optimal risky portfolio, differing only in the amount
invested in it versus in the risk-free asset.
R3. The risk premium on the market portfolio is proportional to its risk and the degree
of risk aversion of the representative investor:
7
𝐸H𝑅P,!"# I − 𝑅0,! = 𝜆 𝜎P (𝛼 ∗ = 1)
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 42/50
Market Equilibrium and CAPM
Market
portfolio (M)
Rf
𝜎-
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 43/50
Market Equilibrium and CAPM
Results (cont’d)
R4. The risk premium on individual assets is proportional the risk premium on the
market portfolio, M, and the beta coefficient of the security relative to the market.
- There is only one risk factor for the assets: their correlation with the market
portfolio (with return 𝑅P,! )
RST[V-,/0" ,V1,/0" ] A-! B2
- This correlation is measured by the beta parameter, 𝛽. = =
X[V1,/0" ] K! B2
- At the equilibrium, the expected return (or risk premium) of individual asset i is
(price times quantity of risk)
𝐸H𝑅P,!"# − 𝑅0,! I 𝑐𝑜𝑣[𝑅.,!"# , 𝑅P,!"# ]
𝐸H𝑅‰.,!"#
ˆ‰ ‰‰Š‰ I−
‰‰𝑅0,! =
‰‹ ×
𝜎
ˆ‰‰‰‰Š‰P ‰‰‰‹ 𝜎P ‰‰‰‰‹
ˆ‰‰‰‰‰Š‰
YZHIJ[I\ IZJIGG
d^eJI ab ^eGf ghG[IEc[eJ ^eGf
^I[_^` ab cGGI[ .
ab cGGI[ .
or
𝑐𝑜𝑣H𝑅.,!"# , 𝑅P,!"# I
𝐸H𝑅.,!"# I − 𝑅0,! = 𝐸H𝑅P,!"# − 𝑅0,! I = 𝛽. 𝐸H𝑅P,!"# − 𝑅0,! I
𝑉H𝑅P,!"# I
CAPM: The risk premium of asset i is equal to its beta × the excess return of the
market portfolio. Assets with high systematic risk (high beta) offer high expected return
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 44/50
CAPM and Multi-Factor Models
CAPM was first published by Sharpe (1964) and Lintner (1965)
Limitations to CAPM
• Market Portfolio is not directly observable
• Research shows that other factors affect returns
Fund managers are often evaluated based on running the adjusted CAPM regression:
where 𝑅-,!"# is the fund return and 𝑅i,!"# is the return of the benchmark of the fund
- Portfolio Optimization
è Market Efficiency
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 46/50
Efficient Market Hypothesis (EMH)
In an efficient market, stock prices fully reflect available information (Fama, 1965)
Market efficiency does not imply that returns should be zero. Rather, it means that there
is no profit beyond the normally required return.
• Normal returns are defined by your preferred asset pricing model. For instance, they
may be defined by the CAPM:
• Then, abnormal returns (𝜀.,!"# ) are computed as the difference between the return
on a security and its normal return.
Efficient Market Hypothesis (EMH) has implications for investors and firms:
- Expected excess returns (risk premia) are given by an equilibrium model (e.g.,
CAPM)
𝑅.,!"#
ˆ‰ ‰‰Š‰−‰𝑅0,! = ˆ‰
‰‹ 𝐸[𝑅‰.,!"#
‰‰Š‰ −‰‰
𝑅‰‹
0,! ] + ˆŠ‹
𝜀.,!"#
- Fundamental analysis does not work because the quality of firms is already public.
The only form that can work is security analysis: find firms that are better than
everyone else’s estimated
o Investment firms should create an index fund and the fund manager should only
tailor the portfolio to the needs of the investors
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 49/50
Efficient Market Hypothesis (EMH)
Evidence
3. Markets are very efficient, but especially diligent, intelligent, or creative investors
may probably make more money than the average investor.
MScF (2023-24) Pr. Eric Jondeau – Sustainability Aware Asset Management 50/50