Contributions published at Quantitative Finance (Marc Chesney)

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Les marchés financiers et les grandes banques ont atteint une taille, une complexité et un degré d’opacité particulièrement inquiétants, qui leur permet d’accroître encore plus leur pouvoir. Au niveau international, les dirigeants élus, qu’ils soient de gauche ou de droite, n’appliquent le plus souvent qu’une seule et même politique économique, celle qui répond aux intérêts de l’aristocratie financière, et qui ne fait qu’accentuer la crise et assombrir les perspectives d’avenir : il est paradoxal qu’une petite minorité de la population mondiale soit en situation d’imposer sa volonté à l’ensemble de la société. Aujourd’hui, c’est au nom de la satisfaction de marchés financiers, qui par nature demeurent insatisfaits, que les générations actuelles souffrent. En 1914, au nom de la nation, la jeunesse européenne fut sacrifiée dans les charniers d’une longue et cruelle guerre. Hier comme aujourd’hui, la démocratie est mise en échec, puisque les politiques suivies ne correspondent ni aux intérêts ni aux aspirations du plus grand nombre. Résoudre cette crise, soigner ce cancer qui ronge la société requiert essentiellement le respect de principes de base, plutôt que l’utilisation de recettes au goût amer : d’une part, il faut réanimer la démocratie – la sortir de son coma –, d’autre part, il s’agit de remettre la sphère financière à sa place, c’est-à-dire au service de l’économie et de la société. C’est ce à quoi s’intéresse Marc Chesney dans cet essai implacable, dans lequel il montre comment les lobbies du secteur financier s’activent pour bloquer tout type d’avancées dans ce domaine.

We present a software system to create and implement internal markets in organizations that want to limit the CO2 emissions or the use of scarce resources by their employees. This system can be applied to domains such as business travel by distributing a limited number of permits for business travel-related CO2 emissions at the beginning of a period and then allowing the permits to be traded inside the organization. The system calculates the CO2 emissions caused by planned trips and provides the market mechanisms to trade the permits. The approach can be generalized from emission permits to any scarce good that is assigned by the management to units or individual members of the organization, such as parking spaces. Both cases are described by way of detailed examples.

Despite their apparent interest, private investors are surprisingly disengaged from sustainable investing, an observation that has received limited scholarly attention. This theory building study draws on the theory of planned behaviour to conceptualize the decision-making process of private investors towards sustainable investing. Findings from literature provide some insights but do not yield a comprehensive answer as to why private investors refrain from sustainable investing. Interviews with wealthy private investors led us to identify a generally high interest in sustainable investing and dominant barriers that prevent actual engagement. Barriers are the perception of high volatility within sustainable investments in combination with, first, a short investment time horizon and, second, recent financial losses. Third, we find that investment advisors withhold required information from their clients. We suggest a decision-making framework that facilitates a better understanding of the engagement of private investors in sustainable investing and outline avenues for future research and implications for practitioners.

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This study provides experimental evidence, using a large sample of 2894 individuals recruited via business media websites, about the impact of demographic attributes within entrepreneurial teams on funding decisions by external capital providers. In previous work the role of diversity with regard to personal characteristics within entrepreneurial teams, such as education, gender and nationality was not clear. Specifically, we focus on task-oriented (e.g., education, experience) and relations-oriented (e.g., age, nationality) dimensions of diversity. The participants of our experiment had to decide on providing early-stage funding to a team of start-up managers whereas the diversity of these teams varied across treatment groups. We find that task-oriented diversity is positively and significantly related to the willingness of respondents to provide capital. Interestingly, the same applies for relations-oriented diversity. This suggests social capital of an entrepreneurial team matters to a greater extent to funding decisions of external investors than the behavioral integration of the team's human capital. Entrepreneurial teams must therefore carefully balance the social costs of non-task-related diversity and the access to financial resources.

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We characterize when a convex risk measure associated to a law-invariant acceptance set in L$^∞$ can be extended to L$^p$, 1≤p<∞, preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures based on expected utility, max-correlation risk measures, and distortion risk measures.

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