Seminar 217, Risk Management: Social Finance and the Postmodern Portfolio: Theory and Practice

Seminar 217, Risk Management: Social Finance and the Postmodern Portfolio: Theory and Practice

Risk Seminar
Sep 12, 2017, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Speaker: Jeremy Evnine, Evnine & Associates (Speaker - Featured)
We formulate the portfolio construction problem as a mean/variance problem which includes a linear term representing an investor’s preference for expected “social return”, in addition to her expected “financial return” of the classical theory. By making various assumptions, we are able to exploit the heterogeneous expectations version of the CAPM to derive an equilibrium model which is an...