Work

Sustainable portfolio optimization and sustainable taxation

Year: 2025

Type: article

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.

Source: European Actuarial Journal

DOI: 10.1007/s13385-025-00423-w

Authors: Ralf Korn, Ajla Nurkanović

Institutions: Fraunhofer Institute for Industrial Mathematics, Rheinland-Pfälzische Technische Universität Kaiserslautern-Landau

Language: English

Topic: Sustainable Finance and Green Bonds

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,290

OpenAlex ID: W4411438221