金融学课题：

非财务指标ESG在企业投资和金融市场中的价值

国际金融新风口-Environment, Social and Governance(ESG)评价体系研究

课时安排: 7周在线小组科研学习+5周不限时论文指导学习

Prerequisites适合人群

适合年级 (Grade): 高中生/大学生

适合专业 (Major): ESG、量化金融、绿色金融、证券投资、气候与环境金融、可持续发展金融等相关专业以及希望深入学习ESG资本市场知识的学生；拥有基础数学基础和金融知识的学生优先

Instructor Introduction导师介绍

Alexei

哥伦比亚大学 Columbia University正教授

Alexei导师现任职于哥伦比亚大学，教授财务价格分析中的数学方法、资本市场和投资等课程，拥有普林斯顿大学应用与计算数学硕士及博士学位，是Systematic Alpha Management LLC (SAM）公司研究主管及合伙人。导师研究成果广受业界认可，曾发表多篇论文于International Journal of Theoretical and Applied Finance、World Scientific等业内知名学术期刊中。Alexei教授目前是达索系统公司的物理开发高级专家和哥伦比亚大学数学系的兼职正教授。从2000年到2019年，他是Systematic Alpha Management, LLC的研究主管和投资组合经理。在共同创立SAM之前，Alexei博士曾在Wexford Management（定量分析师，期权定价和交易）、BNP Paribas（专有交易员，全球固定收入期货定量交易）、TrendLogic Associates（研究助理总监，全球期货和股票策略）工作。在他的科学和金融职业生涯中，导师的很多工作成果被发表在主要的物理和金融期刊上。 Dr. Alexei is currently a Physics Development Senior Specialist with Dassault Systemes and an Adjunct Professor with Columbia University, Mathematics Department. From 2000 until 2019 he was a Head of Research and Portfolio Manager for Systematic Alpha Management, LLC. He graduated from Moscow Institute of Physics & Technology in 1990 with Highest Honors in Theoretical Physics & Applied Mathematics. He earned his PhD. in Applied & Computational Mathematics from Princeton University in 1995. Prior to co-founding SAM, Dr. Alexei worked for Wexford Management (Quantitative Analyst, options pricing and trading), BNP Paribas (Proprietary Trader, quantitative global fixed-income futures trading, Fixed Income Swaps Desk), TrendLogic Associates (Assistant Director of Research, global futures and equities strategies).Dr. Alexei 's scientific background relates to such fields as hydrodynamic instabilities and fluid turbulence. Throughout his career in science and finance, certain results of Alexei's work were published in leading physics and finance periodicals.

任职学校 

哥伦比亚大学（Columbia University）创立于1754年，是一所位于美国纽约曼哈顿的世界著名私立研究型大学，为美国大学协会的十四所创始院校之一，常春藤盟校之一。哥大在2020年 U.S. News 美国大学排名第三。

Program Background项目背景 

ESG信息捕捉到了许多传统财务指标无法捕捉到的风险驱动因素。例如，量化投资ESG战略家可以刮取和分析社交媒体内容，以帮助为公司的无形资产提供信息和分配价值，如客户和员工的声誉。ESG信息可以被认为是一种风险因素，它是一种投资考量因子，与收益有稳定的截面相关性，从而可以合理考量那些有这方面风险的股票。ESG因素可以与传统的主题因素包括在一起，如动量、价值、质量、增长和波动性。由于ESG因素与传统因素的相关性低，也可以提供多样化投资的巨大益处。

ESG information captures many risk drivers not captured through traditional financial metrics. Quant ESG strategists, for example, can scrape and analyze social media content to help inform and assign value to company intangibles, such as customer and employee reputation. ESG information can be considered as a risk factor that is an investment theme that has stable cross-sectional correlations to returns, thereby rewarding stocks that have an exposure to them. ESG factors can be included with traditional thematic factors such as momentum, value, quality, growth, and volatility. ESG factors may also provide diversification benefits due to their low correlation to traditional factors.

Program Description项目介绍

本项目旨在为学生提供足够的金融市场分析与投资策略知识，以满足市场ESG快速增长的需求。2022年以来，客户对非传统财报的需求、政府政策、中央银行的鼓励和监管要求都在推动投资行业在投资过程中整合环境、社会和公司治理因素，并将其融入整个投资过程。我们希望该课程在提高现有和新进的投资专业人士的技能方面发挥重要作用，并使学生能够展示他们在可持续投资方面的能力和专业度。同时我们不可忽视的是，在合理的自由和竞争的金融市场上，证券股票价格的波动是完全符合市场预期，这一观察对证券估值和投资战略的选择是非常有用。因此，结合传统的风险/收益权衡投资策略与新兴的ESG因子，并有效的将其融入现代投资组合理论中，这将对资产配置和投资组合优化的发展起到至关重要的作用。所以我们也将在本课程中涵盖资本资产定价模型，现代投资组合理论，因素模型，以及股票估值等核心量化金融知识。

This course aims to provide students with sufficient knowledge to meet the rapidly growing demand for ESG skills and competencies. The client demand, government policy, central bank encouragement and regulatory requirements are all driving the investment profession to integrate environmental, social and governance factors throughout investment process. We hope the course to play an important role in raising skill-sets for existing and incoming investment professionals and enabling investment firms to demonstrate their capacity and commitment with respect to sustainable investment. Furthermore, that in the reasonably free and competitive financial markets the securities prices are nearly efficient, and how useful this observation is for the securities valuation and investments strategies selection. We also need to pay attention to risk/return tradeoff, diversification and their role in the modern portfolio theory, their consequences for asset allocation, portfolio optimization. Therefore, we will cover Capital Asset Pricing Model, Modern Portfolio Theory, Factor Models, and Equities Valuation.

Syllabus项目大纲

v ESG可持续发展投资与金融市场 Introduction to ESG and the ESG market

v 环境、社会责任与公司治理因子在现代金融投资中的研究 Environmental,Social and Governance factors.

v ESG的评估、分析与整合研究 ESG analysis, valuation and integration

v ESG相关的投资组合与资产管理 ESG integrated portfolio construction and management

v 资产定价、风险量化与现代投资模型中的应用Capital allocation to risky assets，index models and Multifactor Models of Risk and Return.

v 项目回顾和成果展示Program Review and Presentation

v 论文辅导 Project Deliverables Tutoring

Program Outcome项目收获

ü 7周在线小组科研学习+5周不限时论文指导学习 共125课时

ü 项目报告

ü 优秀学员获主导师Reference Letter

ü EI/CPCI/Scopus/ProQuest/Crossref/EBSCO或同等级别索引国际会议全文投递与发表指导（可用于申请）

ü 结业证书

ü 成绩单