We construct various measures of firm-level climate risk exposure by utilizing two natural language processing … higher expected stock returns than those counterparts with lower exposure, suggesting that firms' disaster risk exposure … positive return of 5% per annum, which cannot be explained by common risk factors and other firm characteristics …

Many strategies are used to optimize portfolios to achieve high-profit returns while minimizing risk. Portfolio … building is critical to achieving this aim, and risk budgeting significantly influences portfolio optimization techniques. This … research looks at how machine learning and factor-based portfolio optimization may create risk parity portfolios with risk …