Herzel, Stefano; Nicolosi, Marco; Stărică, Cătălin - In: The European Journal of Finance 18 (2012) 3-4, pp. 333-349
We examined the impact of including sustainability-related constraints in optimal portfolio decision-making. Our analysis covered an investment set containing the components of the S&P500 index from 1993 to 2008. Optimizations were performed according to the classic mean--variance approach,...