Portfolio optimization for sustainable investments

Cites Work

Estimation of the global minimum variance portfolio in high dimensions
A well-conditioned estimator for large-dimensional covariance matrices
A Krylov subspace approach to large portfolio optimization
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Determination and estimation of risk aversion coefficients
Risk minimization in multi-factor portfolios: what is the best strategy?
Markowitz revisited: social portfolio engineering
A unified model for regularized and robust portfolio optimization
Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection
Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy
An analytical derivation of the efficient surface in portfolio selection with three criteria
Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
Incorporating environmental and social considerations into the portfolio optimization process
Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
Selection of Socially Responsible Portfolios Using Hedonic Prices
Computing the Nondominated Surface in Tri-Criterion Portfolio Selection
Common risk factors in the returns on stocks and bonds
Non-contour efficient fronts for identifying most preferred portfolios in sustainability investing

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