We obtained from Standard and Poor’s Corporation, the complete 126-year history of the Dow Jones Industrial Average (DJIA) daily closing prices. We are applying rolling window averaging and adaptive learning methodologies, coupled with robust estimation methods, to examine which are the best...

Our research uses the environmental pillar of ESG as a proxy for environmental corporate social responsibility. We examine the performance of environmentally clustered portfolios, by using simple quantitative investment strategies with optimum asset rotation. A post-hoc, sample-split analysis...