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June 19, 2025
Journal Article
Title

Sustainable portfolio optimization and sustainable taxation

Abstract
We consider the optimal investment problem under sustainability requirements stated in [7], but solve it explicitly for the wider class of power utility functions. Further, we introduce a type of equilibrium framework that consists of modifications of the market coefficients such that the unconstrained optimal portfolio process will already satisfy the sustainability constraint. We call this modification sustainable taxation as it indicates possible taxation activities by the state to steer investors towards sustainable assets.
Author(s)
Korn, Ralf  
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM  
Nurkanović, Ajla
Journal
European actuarial journal  
Open Access
File(s)
Download (3.04 MB)
Rights
CC BY 4.0: Creative Commons Attribution
DOI
10.1007/s13385-025-00423-w
10.24406/publica-6633
Additional link
Full text
Language
English
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM  
Keyword(s)
  • Sustainable investment

  • Sustainable taxation

  • rating risk

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