A Deep Learning Framework for Climate Responsible Investment - Academic Paper

Incorporating climate considerations into portfolio analysis and systematic investments has drawn numerous attention recently. It is motivated by the pursuit of sustainable investing for a low-carbon transition. In this paper, we propose to integrate both structured and unstructured climate related data into quantitative investing for stock markets, e.g. carbon emission scores and climate events from news flows. We develop a deep learning framework to consume these data for assessing climate related opportunity and risk of stocks in the investing universe. Experimental evaluation on real data demonstrates the low-carbon intensity of the constructed portfolio as well as decent investing return.