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Paper / 2023SMQ / 200208493389285
Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis
Marcos Escobar-Anel / Yiyao Jiao
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Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis

Paper2023

by Marcos Escobar-Anel, Yiyao Jiao

Tags
capmesgportfolio optimizationsustainable investing

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Suggested foundations for portfolio construction. Specialist prerequisites vary by paper.

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  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

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  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

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