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Multivariate risk aversion utility, application to ESG investments
14 references·1 citing·50 second hop
Multivariate risk aversion utility, application to ESG investments (2022)Multivariate risk aversion utility, appli…Sustainable investing in equilibrium (2020)Sustainable investing in equi…Optimal ESG Portfolios: An Example for the Dow Jones Index (2020)Optimal ESG Portfolios: An Ex…ESG: A New Dimension in Portfolio Allocation (2020)ESG: A New Dimension in Portf…ESG Preferences, Risk and Return (2020)ESG Preferences, Risk and Ret…Responsible Investing: The ESG-Efficient Frontier (2019)Responsible Investing: The ES…Markowitz revisited: Social portfolio engineering (2016)Markowitz revisited: Social p…Estimation of relative risk aversion across time (2016)Estimation of relative risk a…A new approach for optimizing responsible investments dependently on the initial wealth (2016)A new approach for optimizing…Utility Function (2011)Utility FunctionMultivariate utility maximization with proportional transaction costs (2010)Multivariate utility maximiza…On multiattributive risk aversion: some clarifying results (2007)On multiattributive risk aver…Theory of Games and Economic Behavior (2006)Theory of Games and Economic …Risk aversion with many commodities (1974)Risk aversion with many commo…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Exploring the Principle of Multi-Dimensional Risk Analysis and a Case Study in Two-Dimensional Risk (2025)Exploring the Principle of Mu…Risk Aversion in the Small and in the Large (1964)Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2012)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Labor Supply: A Review of Alternative Approaches (1999)Conditional Skewness in Asset Pricing Tests (2000)Asset pricing with liquidity risk (2005)Limits to Arbitrage in Markets With Stochastic Settlement Latency (2018)Optimal collective investment: The impact of sharing rules, management fees and guarantees (2020)Tail index-linked annuity: A longevity risk sharing retirement plan (2021)Common risk factors in the returns on stocks and bonds (1993)Corporate Governance and Equity Prices (2003)Liquidity Risk and Expected Stock Returns (2003)Adoption of CSR and Sustainability Reporting Standards: Economic Analysis and Review (2019)Investment and Asset Pricing with ESG Disagreement (2020)Firm‐Level Climate Change Exposure (2023)Portfolio Selection (1952)Dividend Policy, Growth, and the Valuation of Shares (1961)ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx50 (2020)Regularization methods for sparse ESG-valued multi-period portfolio optimization with return prediction using machine learning (2023)The integration of environmental, social and governance criteria in portfolio optimization: An empirical analysis (2023)The arbitrage theory of capital asset pricing (1976)Size and Book-to-Market Factors in Earnings and Returns (1995)Aggregate Confusion: The Divergence of ESG Ratings (2019)ESG disclosure and financial performance: Moderating role of ESG investors (2022)The effect of ESG rating events on corporate green innovation in China: The mediating role of financial constraints and managers' environmental awareness (2022)PORTFOLIO SELECTION* (1952)On Persistence in Mutual Fund Performance (1997)Corporate Social Responsibility: A Theory of the Firm Perspective (2001)Sustainable Entrepreneurship Orientation: A Reflection on Status-Quo Research on Factors Facilitating Responsible Managerial Practices (2018)Portfolio optimization with entropic value-at-risk (2019)ESG Investing: Practices, Progress and Challenges (2020)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A five-factor asset pricing model (2014)Firms and social responsibility: A review of ESG and CSR research in corporate finance (2021)Transforming Our World: The 2030 Agenda for Sustainable Development (2018)Environmental, social, and governance ratings and financial performance: Evidence from the European food industry (2022)Is ESG mutual fund quality in the eye of the beholder? An experimental study of investor responses to ESG fund strategies (2022)An Iterative Method of Solving a Game (1951)Optimal rules for ordering uncertain prospects (1975)The Contributions of Industrial Organization To Strategic Management, (1981)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2020Sustainable investing in equilibrium2,395 cited
  • 2019Responsible Investing: The ESG-Efficient Frontier2,140 cited
  • 2006Theory of Games and Economic Behavior968 cited
  • 2020ESG Preferences, Risk and Return418 cited
  • 1974Risk aversion with many commodities394 cited
  • 2016Markowitz revisited: Social portfolio engineering144 cited
  • 2020ESG: A New Dimension in Portfolio Allocation67 cited
  • 2020Optimal ESG Portfolios: An Example for the Dow Jones Index62 cited
  • 2016Estimation of relative risk aversion across time54 cited
  • 2010Multivariate utility maximization with proportional transaction costs43 cited
  • 2016A new approach for optimizing responsible investments dependently on the initial wealth23 cited
  • 2007On multiattributive risk aversion: some clarifying results21 cited
  • 2011Utility Function2 cited

Cited by

  • 2025Exploring the Principle of Multi-Dimensional Risk Analysis and a Case Study in Two-Dimensional Risk5 cited

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