This research analyzes the risk-adjusted returns and the investment style of sustainability-themed funds, a fast-growing category of sustainable and responsible mutual fund. Sustainability-themed funds are compared with sustainable and responsible mutual funds that implement different approaches...

We build the time series of optimal realized portfolio weights from high-frequency data and we suggest a novel Dynamic Conditional Weights (DCW) model for their dynamics. DCW is benchmarked against popular model-based and model-free specifications in terms of weights forecasts and portfolio...