We incorporate socially responsible investment goals in the index tracking portfolio problem.
We propose a comprehensive decision-making framework to construct an ESG-based …

Machine learning is having a major impact in the development of many fields, including
finance, where its domain of application and efficiency impact may be considered limitless …

Performance measurement is a crucial ingredient in the industry of investment funds. Mainly
grounded on indices of risk-adjusted returns, it requires historical data to estimate the …

We consider a conditional asset allocation with the maximal Sharpe ratio (optimal
conditional portfolio). Conditional means that it depends on some extra information. In the …