Markowitz revisited: social portfolio engineering
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Publication:1751765
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Cites work
- Computing the nondominated surface in tri-criterion portfolio selection
- Constant and variable returns to scale DEA models for socially responsible investment funds
- Safety first portfolio choice based on financial and sustainability returns
- Selection of socially responsible portfolios using hedonic prices
- Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
Cited in
(28)- On outperforming social-screening-indexing by multiple-objective portfolio selection
- The real effects of sustainable \& responsible investing?
- Portfolio optimization with entropic value-at-risk
- CISEF: a composite index of social, environmental and financial performance
- Responsible investments reduce market risks
- Unpleasant arithmetic of socially responsible investment
- Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment
- Applying least squares support vector machines to mean-variance portfolio analysis
- Tailor-made thematic portfolios: a core satellite optimization
- The impact of a sustainability constraint on the mean-tracking error efficient frontier
- Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
- Incorporating environmental and social considerations into the portfolio optimization process
- Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment
- Selection of socially responsible portfolios using hedonic prices
- A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Environmental Integration and Sin Stock Exclusion
- On the neutrality of socially responsible investing: The general equilibrium perspective
- Measuring the social responsibility of European companies: a goal programming approach
- Portfolio instability and socially responsible investment: experiments with financial professionals and students
- ESG portfolio for TDFs with time-varying higher moments and cardinality constraint
- Approaches to ESG -- integration in portfolio optimization using MOEAs
- Portfolio optimization for sustainable investments
- Responsible investing and portfolio selection: a Shapley-CVaR approach
- Efficiency of socially responsible investments in the context of portfolio management
- Fifty years at the interface between financial modeling and operations research
- How do investor preferences on ESG score influence portfolio management? A Markov model for simulating risk-return expectations
- Optimal investment of defined contribution pension plan with environmental, social, and governance (ESG) factors in regime-switching jump diffusion models
- Sustainable optimal stock portfolios: what relationship between sustainability and performance?
- Fifty years of portfolio optimization
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