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May, 2023
社会责任投资组合优化的机器学习
Machine Learning for Socially Responsible Portfolio Optimisation
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Taeisha Nundlall, Terence L Van Zyl
TL;DR
该研究基于改进的均值-方差模型实现了面向社会责任投资者的投资组合优化，考虑了环境、社会和治理等方面的因素，并在收益率和投资组合的平均ESG得分之间做出了权衡。
Abstract
Socially responsible investors build investment portfolios intending to incite
social
and
environmental
advancement alongside a financial return. Although Mean-Variance (MV) models successfully generate the highe
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