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Paper / 2023SMQ / 209686209454417
Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets
Rishabh Raj / Shashwat Mishra / Siddhartha P. Chakrabarty
esg / optimizationResource overview

Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets

Paper2023

by Rishabh Raj, Shashwat Mishra, Siddhartha P. Chakrabarty

Tags
esgoptimizationportfolio optimizationstress testingsustainable investing

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Suggested foundations for portfolio construction and optimisation and numerical methods. Specialist prerequisites vary by paper.

Before you read

  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

  3. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

Go further

  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

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