Risk-based strategies: the social responsibility of investment universes does matter

DOI10.1007/S10479-015-2081-4zbMath1416.91342OpenAlexW3125767311MaRDI QIDQ1615802

Vincent Lapointe, Philippe Bertrand

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-2081-4

zbMATH Keywords

performancediversificationsocially responsible investmentturnoveralternative and risk-based strategiesrobust covariances matrix

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Incorporating environmental and social considerations into the portfolio optimization process ⋮ The impact of covariance misspecification in risk-based portfolios

Cites Work

• Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
• Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier

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