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https://doi.org/10.2139/ssrn.4814019

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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/csr.2682openalex-extracted
The integration of environmental, social and governance criteria in portfolio optimization: An empirical analysis
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Advances in prospect theory: Cumulative representation of uncertainty
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Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
inferredcites →https://doi.org/10.1007/s00291-023-00719-xopenalex-extracted
Mean-Variance-VaR portfolios: MIQP formulation and performance analysis
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A brief review of portfolio optimization techniques
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Randomized Progressive Hedging methods for multi-stage stochastic programming
inferredcites →https://doi.org/10.1007/s10479-022-05144-xopenalex-extracted
Responsible investing and portfolio selection: a shapley - CVaR approach
inferredcites →https://doi.org/10.1007/s10479-023-05396-1openalex-extracted
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models
inferredcites →https://doi.org/10.1007/s10551-010-0631-xopenalex-extracted
Putting Sustainable Investing into Practice: A Governance Framework for Pension Funds
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A study of progressive hedging for stochastic integer programming
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On ESG Portfolio Construction: A Multi-Objective Optimization Approach
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Survey on Multi-period Mean–Variance Portfolio Selection Model
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A generalized multi-period mean–variance portfolio optimization with Markov switching parameters
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Optimal mean–variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
inferredcites →https://doi.org/10.1016/j.automatica.2015.01.040openalex-extracted
Time cardinality constrained mean–variance dynamic portfolio selection and market timing: A stochastic control approach
inferredcites →https://doi.org/10.1016/j.cie.2020.106786openalex-extracted
A multi-stage stochastic programming approach for supply chain risk mitigation via product substitution
inferredcites →https://doi.org/10.1016/j.cor.2012.11.007openalex-extracted
Mean–CVaR portfolio selection: A nonparametric estimation framework
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Deep learning for decision making and the optimization of socially responsible investments and portfolio
inferredcites →https://doi.org/10.1016/j.ejor.2010.09.038openalex-extracted
Continuous time mean variance asset allocation: A time-consistent strategy
inferredcites →https://doi.org/10.1016/j.ejor.2011.07.011openalex-extracted
Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives
inferredcites →https://doi.org/10.1016/j.ejor.2013.02.040openalex-extracted
Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint
inferredcites →https://doi.org/10.1016/j.ejor.2013.07.024openalex-extracted
Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
inferredcites →https://doi.org/10.1016/j.ejor.2015.04.035openalex-extracted
Tri-criterion modeling for constructing more-sustainable mutual funds
inferredcites →https://doi.org/10.1016/j.ejor.2015.09.005openalex-extracted
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
inferredcites →https://doi.org/10.1016/j.ejor.2016.10.043openalex-extracted
Markowitz revisited: Social portfolio engineering
inferredcites →https://doi.org/10.1016/j.ejor.2018.05.002openalex-extracted
Dynamic safety first expected utility model
inferredcites →https://doi.org/10.1016/j.ejor.2020.06.040openalex-extracted
A matheuristic algorithm for stochastic home health care planning
inferredcites →https://doi.org/10.1016/j.ejor.2022.03.011openalex-extracted
Robust international portfolio optimization with worst‐case mean‐CVaR
inferredcites →https://doi.org/10.1016/j.ejor.2022.08.007openalex-extracted
Non-contour efficient fronts for identifying most preferred portfolios in sustainability investing
inferredcites →https://doi.org/10.1016/j.eswa.2019.02.003openalex-extracted
Managing load congestion in electric vehicle charging stations under power demand uncertainty
inferredcites →https://doi.org/10.1016/j.eswa.2020.113877openalex-extracted
An effective Progressive Hedging algorithm for the two-layers time window assignment vehicle routing problem in a stochastic environment
inferredcites →https://doi.org/10.1016/j.eswa.2023.120850openalex-extracted
Regularization methods for sparse ESG-valued multi-period portfolio optimization with return prediction using machine learning
inferredcites →https://doi.org/10.1016/j.eswa.2023.121625openalex-extracted
Higher-order moments in portfolio selection problems: A comprehensive literature review
inferredcites →https://doi.org/10.1016/j.eswa.2024.124996openalex-extracted
A modelling and solution approach for wind-affected drone-truck routing problem under uncertainty
inferredcites →https://doi.org/10.1016/j.frl.2023.103875openalex-extracted
Integrating ESG risks into value-at-risk
inferredcites →https://doi.org/10.1016/j.iref.2023.10.038openalex-extracted
Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis
inferredcites →https://doi.org/10.1016/j.jfineco.2020.11.001openalex-extracted
Responsible Investing: The ESG-Efficient Frontier
inferredcites →https://doi.org/10.1016/j.jfineco.2020.12.011openalex-extracted
Sustainable investing in equilibrium
inferredcites →https://doi.org/10.1016/j.jfineco.2021.09.009openalex-extracted
Sustainable investing with ESG rating uncertainty
inferredcites →https://doi.org/10.1016/j.jfineco.2022.07.007openalex-extracted
Dissecting green returns
inferredcites →https://doi.org/10.1016/j.jfineco.2024.103928openalex-extracted
The risk and return of impact investing funds
inferredcites →https://doi.org/10.1016/j.jmse.2021.02.005openalex-extracted
Social responsibility portfolio optimization incorporating ESG criteria
inferredcites →https://doi.org/10.1016/j.omega.2023.102975openalex-extracted
A novel online portfolio selection approach based on pattern matching and ESG factors
inferredcites →https://doi.org/10.1016/j.omega.2024.103051openalex-extracted
A novel regret-rejoice cross-efficiency approach for energy stock portfolio optimization
inferredcites →https://doi.org/10.1016/j.omega.2024.103099openalex-extracted
Assessing the performance of banks through an improved sigma-mu multicriteria analysis approach
inferredcites →https://doi.org/10.1016/j.spc.2021.02.011openalex-extracted
Analysing the financial performance of sustainable development goals-themed mutual funds in China
inferredcites →https://doi.org/10.1016/s0378-4266(02)00271-6openalex-extracted
Conditional value-at-risk for general loss distributions
inferredcites →https://doi.org/10.1017/s0022109022000916openalex-extracted
ESG Preference, Institutional Trading, and Stock Return Patterns
inferredcites →https://doi.org/10.1057/s41283-018-0043-2openalex-extracted
Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk
inferredcites →https://doi.org/10.1080/14697680701448456openalex-extracted
Mean-risk models using two risk measures: a multi-objective approach
inferredcites →https://doi.org/10.1080/20430795.2015.1118917openalex-extracted
ESG and financial performance: aggregated evidence from more than 2000 empirical studies
inferredcites →https://doi.org/10.1080/20430795.2020.1783180openalex-extracted
Optimal ESG Portfolios: An Example for the Dow Jones Index
inferredcites →https://doi.org/10.1080/20430795.2021.1923336openalex-extracted
ESG: A New Dimension in Portfolio Allocation
inferredcites →https://doi.org/10.1093/rfs/14.2.371openalex-extracted
Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhy105openalex-extracted
Approaching Mean-Variance Efficiency for Large Portfolios
inferredcites →https://doi.org/10.1093/rfs/hhz137openalex-extracted
The Importance of Climate Risks for Institutional Investors
inferredcites →https://doi.org/10.1109/imcec51613.2021.9482174openalex-extracted
A new Bi-level programming model for uncertain supply chain problems
inferredcites →https://doi.org/10.1109/tac.2018.2831641openalex-extracted
Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise
inferredcites →https://doi.org/10.1109/tste.2023.3234916openalex-extracted
A Resilience-Oriented Multi-Stage Adaptive Distribution System Planning Considering Multiple Extreme Weather Events
inferredcites →https://doi.org/10.1109/tste.2023.3240184openalex-extracted
A Risk-Averse Adaptive Stochastic Optimization Method for Transactive Energy Management of a Multi-Energy Microgrid
inferredcites →https://doi.org/10.1111/1467-9965.00068openalex-extracted
Coherent Measures of Risk
inferredcites →https://doi.org/10.1111/1467-9965.00100openalex-extracted
Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation
inferredcites →https://doi.org/10.1111/1475-679x.12570openalex-extracted
ESG Disclosures in the Private Equity Industry
inferredcites →https://doi.org/10.1137/140955264openalex-extracted
Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time
inferredcites →https://doi.org/10.1137/20m1338241openalex-extracted
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
inferredcites →https://doi.org/10.1137/s0363012900378504openalex-extracted
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
inferredcites →https://doi.org/10.1142/9789814417358_0006openalex-extracted
Prospect Theory: An Analysis of Decision Under Risk
inferredcites →https://doi.org/10.1287/mnsc.1040.0201openalex-extracted
A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
inferredcites →https://doi.org/10.1287/mnsc.1060.0507openalex-extracted
Static Mean-Variance Analysis with Uncertain Time Horizon
inferredcites →https://doi.org/10.1287/mnsc.2020.3846openalex-extracted
Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed
inferredcites →https://doi.org/10.1287/mnsc.2022.01168openalex-extracted
Quantifying the Impact of Impact Investing
inferredcites →https://doi.org/10.1287/mnsc.2022.03491openalex-extracted
Dynamic ESG Equilibrium
inferredcites →https://doi.org/10.1287/mnsc.44.11.s79openalex-extracted
Dynamic Asset Allocation in a Mean-Variance Framework
inferredcites →https://doi.org/10.1287/moor.18.4.846openalex-extracted
On the Convergence Rate of Dual Ascent Methods for Linearly Constrained Convex Minimization
inferredcites →https://doi.org/10.1287/moor.2020.1072openalex-extracted
A Theory for Measures of Tail Risk
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Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
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Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
inferredcites →https://doi.org/10.19139/soic-2310-5070-964openalex-extracted
Convergence Analysis of a Stochastic Progressive Hedging Algorithm for Stochastic Programming
inferredcites →https://doi.org/10.21314/jor.2000.038openalex-extracted
Optimization of conditional value-at-risk
inferredcites →https://doi.org/10.2139/ssrn.1993087openalex-extracted
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inferredcites →https://doi.org/10.2139/ssrn.2481987openalex-extracted
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inferredcites →https://doi.org/10.2139/ssrn.4494382openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.4558861openalex-extracted
Pricing of Sustainability-Linked Bonds
inferredcites →https://doi.org/10.2139/ssrn.4619458openalex-extracted
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Value at Risk
inferredcites →https://doi.org/10.3386/w28156openalex-extracted
ESG Preference, Institutional Trading, and Stock Return Patterns
inferredcites →https://doi.org/10.3905/jod.1997.407971openalex-extracted
An Overview of Value at Risk
inferredcites →https://doi.org/10.3905/joi.2019.1.106openalex-extracted
ESG Controversies and Their Impact on Performance
inferredcites →https://doi.org/10.3934/jimo.2023118openalex-extracted
A randomized progressive hedging algorithm for stochastic variational inequality
inferredcites →https://doi.org/10.47063/ebtsf.2023.0010openalex-extracted
Integration of ESG Issues in Investments Practices of Pension Funds
inferredcites →https://doi.org/10.48550/arxiv.2009.12186openalex-extracted
inferredcites →https://doi.org/10.48550/arxiv.2111.04311openalex-extracted
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
inferredcites →https://doi.org/10.48550/arxiv.2202.13436openalex-extracted
Neural-Progressive Hedging: Enforcing Constraints in Reinforcement Learning with Stochastic Programming
inferredcites →https://doi.org/10.48550/arxiv.2303.15830openalex-extracted
Mean-variance hybrid portfolio optimization with quantile-based risk measure
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An Adaptive Sampling-based Progressive Hedging Algorithm for Stochastic Programming

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inferred← citeshttps://doi.org/10.3390/math13111754openalex-snapshot
Managing Risk Across Time: An Intertemporal Spectral Risk Measures Framework for Multi-Period Portfolio Optimization
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