Global Portfolio Optiomization Revisted: A Least Discrimination Alternative to Black-Litterman [PDF]
Global portfolio optimization models rank among the proudest achievements of modern finance theory, but practitioners are still struggling to put them to work.
Jacques Pezier
core
Business Strategy and the Environment, EarlyView.ABSTRACT Investors have long recognized the importance of firms in promoting sustainability, leading to the rise of socially responsible investment (SRI). Specifically, there is a growing preference for exchange‐traded funds (ETFs) that prioritize environmental, social, and governance (ESG) principles.
Sandra Tenorio‐Salgueiro +3 more
wiley +1 more source
From deterministic to stochastic: an interpretable stochastic model-free reinforcement learning framework for portfolio optimization. [PDF]
Appl Intell (Dordr), 2023 Song Z +6 more
europepmc +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT This article evaluates the average business performance of construction firms across Spain's 17 autonomous communities within a decentralised governance framework. A regional composite sustainability index is developed, integrating economic, social and environmental intensity indicators.
Francisco José Castillo‐Díaz +3 more
wiley +1 more source
BERT's sentiment score for portfolio optimization: a fine-tuned view in Black and Litterman model. [PDF]
Neural Comput Appl, 2022 Colasanto F +3 more
europepmc +1 more source
Operationalising Sufficiency in an Organisational Context: A Systematic Literature Review
Business Strategy and the Environment, EarlyView.ABSTRACT Efficiency‐led sustainability is important but often fails to deliver absolute reductions in resource use, leaving organisations exposed to rebound effects. What remains underexplored is how sufficiency, the strategic limitation of consumption and resource use, is operationalised within organisational contexts.
Shahrokh Nikou +2 more
wiley +1 more source
Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution [PDF]
, 2020 Carmine De Franco +2 more
openalex +1 more source
Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space [PDF]
First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited.
Alejandro Reveiz, Carlos León
core
Mandatory TCFD Disclosure and Corporate Financial Performance: Evidence From UK Non‐Financial Firms
Business Strategy and the Environment, EarlyView.ABSTRACT The escalating urgency of climate change has intensified calls for transparent corporate reporting on climate‐related risks and opportunities. This study examines the causal impact of the United Kingdom's mandatory Task Force on Climate‐Related Financial Disclosures (TCFD) framework on the financial performance of non‐financial firms.
Prashant Gupta
wiley +1 more source
Distributionally robust mean-absolute deviation portfolio optimization using wasserstein metric. [PDF]
J Glob Optim, 2022 Chen D, Wu Y, Li J, Ding X, Chen C.
europepmc +1 more source