Achdou, Y., J. Han, J.-M. Lasry, P.-L. Lions, and B. Moll (2022). Income and wealth distribution in macroeconomics: A continuous-time approach. The Review of Economic Studies 89(1), 45â86.
Alekseev, G., S. Giglio, Q. Maingi, J. Selgrad, and J. Stroebel (2022). A quantity-based approach to constructing climate risk hedge portfolios. Technical report, National Bureau of Economic Research.
Anderson, R. M. and R. C. Raimondo (2008). Equilibrium in continuoustime financial markets: Endogenously dynamically complete markets. Econometrica 76(4), 841â907.
- Andersson, M., P. Bolton, and F. Samama (2016). Hedging climate risk. Financial Analysts Journal 72(3), 13â32.
Paper not yet in RePEc: Add citation now
Ang, A. and J. Chen (2007). CAPM over the long run: 1926â2001. Journal of Empirical Finance 14(1), 1â40.
Avramov, D., S. Cheng, A. Lioui, and A. Tarelli (2022). Sustainable investing with ESG rating uncertainty. Journal of Financial Economics 145(2), 642â664.
- Barrasso, A. and N. Touzi (2022). Controlled diffusion mean field games with common noise and McKeanâVlasov second order backward SDEs. Theory of Probability & Its Applications 66(4), 613â639.
Paper not yet in RePEc: Add citation now
Berk, J. and J. H. van Binsbergen (2021). The impact of impact investing. Available at SSRN 3909166.
Bolton, P. and M. Kacperczyk (2021). Do investors care about carbon risk? Journal of financial economics 142(2), 517â549.
Bourgey, F., E. Gobet, and Y. Jiao (2022). Bridging socioeconomic pathways of CO2 emission and credit risk. Annals of Operations Research, 1â22.
Bredies, K., D. A. Lorenz, and P. Maass (2009). A generalized conditional gradient method and its connection to an iterative shrinkage method. Computational Optimization and Applications 42(2), 173â193.
- Brezis, H. (2010). Functional Analysis, Sobolev Spaces and Partial Differential Equations. Universitext. Springer New York.
Paper not yet in RePEc: Add citation now
- Cardaliaguet, P., F. Delarue, J.-M. Lasry, and P.-L. Lions (2019). The master equation and the convergence problem in mean field games. Princeton University Press.
Paper not yet in RePEc: Add citation now
- Carmona, R. and F. Delarue (2018a). Probabilistic theory of mean field games with applications, Volume 2. Springer.
Paper not yet in RePEc: Add citation now
- Carmona, R. and F. Delarue (2018b). Probabilistic Theory of Mean Field Games with Applications II: Mean Field Games with Common Noise and Master Equations, Volume 84. Springer.
Paper not yet in RePEc: Add citation now
- Carmona, R., F. Delarue, and D. Lacker (2016). Mean field games with common noise. The Annals of Probability 44(6), 3740â3803.
Paper not yet in RePEc: Add citation now
Casgrain, P. and S. Jaimungal (2020). Mean-field games with differing beliefs for algorithmic trading. Mathematical Finance 30(3), 995â1034.
Chowdhry, B., S. W. Davies, and B. Waters (2019). Investing for impact. The Review of Financial Studies 32(3), 864â904.
De Angelis, T., P. Tankov, and O. D. Zerbib (2022). Climate impact investing. Management Science (published online).
- de la ValleÌe Poussin, C.-J. (1915). Sur lâinteÌgrale de Lebesgue. Transactions of the American Mathematical Society, 435â501.
Paper not yet in RePEc: Add citation now
Duffie, D. (1986). Stochastic equilibria: Existence, spanning number, and the âno expected financial gain from tradeâ hypothesis. Econometrica 54, 1161â1183.
Duffie, D. and C.-F. Huang (1985). Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities. Econometrica 53, 1337â 1356.
- Dunford, N. and J. T. Schwartz (1988). Linear operators, part 1: general theory, Volume 10. John Wiley & Sons.
Paper not yet in RePEc: Add citation now
Engle, R. F., S. Giglio, B. Kelly, H. Lee, and J. Stroebel (2020). Hedging climate change news. The Review of Financial Studies 33(3), 1184â1216.
- FeÌron, O., P. Tankov, and L. Tinsi (2022). Price formation and optimal trading in intraday electricity markets. Mathematics and Financial Economics 16(2), 205â237.
Paper not yet in RePEc: Add citation now
- Frank, M. and P. Wolfe (1956). An algorithm for quadratic programming. Naval research logistics quarterly 3(1-2), 95â110.
Paper not yet in RePEc: Add citation now
- Fu, G., P. Graewe, U. Horst, and A. Popier (2021). A mean field game of optimal portfolio liquidation. Mathematics of Operations Research 46(4), 1250â1281.
Paper not yet in RePEc: Add citation now
- Fujii, M. and A. Takahashi (2022). A mean field game approach to equilibrium pricing with market clearing condition. SIAM Journal on Control and Optimization 60(1), 259â279.
Paper not yet in RePEc: Add citation now
Gomes, D. A. et al. (2021). A mean-field game approach to price formation. Dynamic Games and Applications 11(1), 29â53.
- Green, D. and B. Roth (2021). The allocation of socially responsible capital. Available at SSRN 3737772.
Paper not yet in RePEc: Add citation now
Heinkel, R., A. Kraus, and J. Zechner (2001). The effect of green investment on corporate behavior. Journal of financial and quantitative analysis 36(4), 431â449.
Huang, C.-F. (1987). An intertemporal general equilibrium asset pricing model: The case of diffusion information. Econometrica: Journal of the Econometric Society 55, 117â142.
Huang, H. H., J. Kerstein, and C. Wang (2018). The impact of climate risk on firm performance and financing choices: An international comparison. Journal of International Business Studies 49(5), 633â656.
- Huang, M., R. P. MalhameÌ, and P. E. Caines (2006). Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle. Communications in Information & Systems 6(3), 221â252.
Paper not yet in RePEc: Add citation now
Hugonnier, J., S. Malamud, and E. Trubowitz (2012). Endogenous completeness of diffusion driven equilibrium markets. Econometrica 80(3), 1249â1270.
- Ilhan, E., Z. Sautner, and G. Vilkov (2021). Carbon tail risk. The Review of Financial Studies 34(3), 1540â1571.
Paper not yet in RePEc: Add citation now
- Jagannathan, R., E. R. McGrattan, et al. (1995). The CAPM debate. Federal Reserve Bank of Minneapolis Quarterly Review 19(4), 2â17.
Paper not yet in RePEc: Add citation now
Krueger, P., Z. Sautner, and L. T. Starks (2020). The importance of climate risks for institutional investors. The Review of Financial Studies 33(3), 1067â1111.
- Lacker, D. and A. Soret (2020). Many-player games of optimal consumption and investment under relative performance criteria. Mathematics and Financial Economics 14(2), 263â281.
Paper not yet in RePEc: Add citation now
Landier, A. and S. Lovo (2020). ESG investing: How to optimize impact? HEC Paris Research Paper No. FIN-2020-1363.
- Lasry, J.-M. and P.-L. Lions (2007). Mean field games. Japanese journal of mathematics 2(1), 229â260.
Paper not yet in RePEc: Add citation now
Luttmer, E. G. J. (2007). Selection, growth, and the size distribution of firms. The Quarterly Journal of Economics 122(3), 1103â1144.
- Morningstar Manager Research (2022). Investing in times of climate change. Technical report, Morningstar.
Paper not yet in RePEc: Add citation now
- Oehmke, M. and M. M. Opp (2022). A theory of socially responsible investment. Swedish House of Finance Research Paper (20-2).
Paper not yet in RePEc: Add citation now
PaÌstor, L., R. F. Stambaugh, and L. A. Taylor (2021). Sustainable investing in equilibrium. Journal of Financial Economics 142(2), 550â571.
- Protter, P. E. (2005). Stochastic differential equations. In Stochastic integration and differential equations, pp. 249â361. Springer.
Paper not yet in RePEc: Add citation now
- Revuz, D. and M. Yor (2013). Continuous martingales and Brownian motion, Volume 293. Springer Science & Business Media.
Paper not yet in RePEc: Add citation now
Riedel, F. and F. Herzberg (2013). Existence of financial equilibria in continuous time with potentially complete markets. Journal of Mathematical Economics 49(5), 398â404.