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Researchers usually specify risk aversion coefficients from 1 (lowest) to M (highest) for a portfolio to indicate active or passive approaches. How effective is this practice? Recent studies suggest that the global minimum variance portfolio (GMVP) is statistically equivalent to portfolios with extensive risk aversion coefficients (the GMVP-equival...
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Environmental, Social and Governance, or simply ESG, has become an increasingly important topic in recent years. On the other side, the conditional value-at-risk (CVaR) is often used to quantify losses beyond the value-at-risk (VaR). In this work, we propose a four-objective portfolio optimization model, where the portfolio choice is made based on...
