This book can serve as the text for a one-semester course on Monte Carlo simulation. The intended audience is advanced undergraduate students or students on master's programs who wish to learn the basics of this exciting topic and its applications to finance. The book is largely self-contained....

Testing portfolio alpha against a linear factor model can be interpreted as a mean-variance efficiency test of the optimal portfolio of factors. For ambiguity neutral investor, adding active portfolio with statistically significant alpha always implies efficiency gain relative to the optimal...

In the face of accelerating climate change, investors are making capital allocations seeking to decarbonize portfolios by reducing the carbon emissions of their holdings. To understand the performance of portfolio decarbonization strategies and investor behavior towards decarbonization we...