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.

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Publication Details

Journal
European Actuarial Journal
Published
2025-06-19
DOI
https://doi.org/10.1007/s13385-025-00423-w
Citations
1
Primary Topic
Climate Change Policy and Economics
Type
article
Field-Weighted Citation Impact
3.13
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article

Sustainable portfolio optimization and sustainable taxation

Ajla Nurkanović, Ralf Korn
1 citations
European Actuarial Journal
Climate Change Policy and Economics
3.13
article

Sustainable portfolio optimization and sustainable taxation

Ajla Nurkanović, Ralf Korn
article en
1 citations

Abstract

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.

European Actuarial Journal
University of Kaiserslautern (DE), Fraunhofer Institute for Industrial Mathematics (DE)
Openalex Percentile: Top 8%
Climate Change Policy and Economics
3.13
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