Risk-based strategies: the social responsibility of investment universes does matter
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DOI: 10.1007/s10479-015-2081-4
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Other versions of this item:
- Philippe Bertrand & Vincent Lapointe, 2018. "Risk-based strategies: the social responsibility of investment universes does matter," Annals of Operations Research, Springer, vol. 262(2), pages 413-429, March.
- Philippe Bertrand & Vincent Lapointe, 2018. "Risk-based strategies: the social responsibility of investment universes does matter," Post-Print hal-01833080, HAL.
References listed on IDEAS
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- Bertrand, Philippe & Lapointe, Vincent, 2015.
"How performance of risk-based strategies is modified by socially responsible investment universe?,"
International Review of Financial Analysis, Elsevier, vol. 38(C), pages 175-190.
- Philippe Bertrand & Vincent Lapointe, 2015. "How performance of risk-based strategies is modified by socially responsible investment universe?," Post-Print hal-01833066, HAL.
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- Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," Post-Print hal-01243408, HAL.
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Cited by:
- David Ardia & Guido Bolliger & Kris Boudt & Jean-Philippe Gagnon-Fleury, 2017. "The impact of covariance misspecification in risk-based portfolios," Annals of Operations Research, Springer, vol. 254(1), pages 1-16, July.
- Prayut Jain & Shashi Jain, 2019. "Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification," Risks, MDPI, Open Access Journal, vol. 7(3), pages 1-27, July.
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Keywords
Turnover; Robust covariances matrix; Performance; Theory of Computation; Socially responsible investment; Alternative and risk-based strategies; Combinatorics; Diversification; Operation Research/Decision Theory;All these keywords.
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