ESG portfolio for TDFs with time-varying higher moments and cardinality constraint

DOI10.1111/ITOR.13364MaRDI QIDQ6561629FDOQ6561629

Authors: Wenling Liu 

Publication date: 25 June 2024

Published in: International Transactions in Operational Research (Search for Journal in Brave)

zbMATH Keywords

socialportfolio selectioncardinality constrainthigher momentsenvironmentaltarget date fundsgovernance investment

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• Title not available (Why is that?)
• Fuzzy multiple objective decision making. Methods and applications
• A VaR Black-Litterman model for the construction of absolute return fund-of-funds
• Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation
• Markowitz revisited: social portfolio engineering
• Portfolio management with higher moments: the cardinality impact
• Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model
• Dynamic portfolio optimization across hidden market regimes
• DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH
• Robust stock and bond allocation with end-of-horizon effects
• Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset
• A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints

This page was built for publication: ESG portfolio for TDFs with time-varying higher moments and cardinality constraint

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6561629)