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Citation link: https://media.suub.uni-bremen.de/handle/elib/8607

Publisher DOI: https://doi.org/10.1007/s10479-024-06189-w
 
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Portfolio optimization for sustainable investments


Authors: Varmaz, Armin  
Fieberg, Christian  
Poddig, Thorsten 
Abstract: 
In mean-variance portfolio optimization, multi-index models often accelerate computation, reduce input requirements, facilitate understanding, and allow easy adjustment to changing conditions more effectively than full covariance matrix estimation in many situations. In this paper, we develop a multi-index model-based portfolio optimization approach that takes into account aspects of the environment, social responsibility and corporate governance (ESG). Investments in assets related to ESG have recently grown, attracting interest from both academic research and investment fund practice. Various literature strands in this area address the theoretical and empirical relation among return, risk and ESG. Our portfolio optimization approach is flexible enough to take these literature strands into account and does not require large-scale covariance matrix estimation. An extension of our approach even allows investors to empirically discriminate among the literature strands. A case study demonstrates the application of our portfolio optimization approach.
Issue Date: 2024
Publisher: Springer Nature
Journal/Edited collection: Annals of Operations Research 
Issue: 341
Start page: 1151
End page: 1176
Type: Artikel/Aufsatz
ISSN: 0254-5330
Institution: Hochschule Bremen 
Faculty: Hochschule Bremen - Fakultät 1: Wirtschaftswissenschaften - School of International Business (SiB) 
Appears in Collections:Bibliographie HS Bremen

  

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