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Managing ESG Ratings Disagreement in Sustainable Portfolio Selection
For the ESG evaluation of the securities in the market, we consider more than one agency and propose a new approach to overcome the problem related to the disagreement between the ESG ratings by different agencies.
Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis
Based on the estimated parameters, we evaluate our targeting method on simulated series by referring to two well-known loss functions introduced in the literature and Network analysis.
Location and portfolio selection problems: A unified framework
In particular, by adding a new criterion to the portfolio selection problem based on an objective function of a classical location problem, we are able to measure the effect of clustering on the selected assets with respect to the non-selected ones.
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