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q-fin.PM2025
Market-Implied Sustainability: Insights from Funds' Portfolio Holdings
Rosella Giacometti, Gabriele Torri, Marco Bonomelli +1
In this work we propose a framework to construct Market-Implied Sustainability (MIS) scores for individual firms by exploiting fund-level sustainability classifications and granula…
q-fin.PM2023★ 1 cited
A return-diversification approach to portfolio selection
Francesco Cesarone, Rosella Giacometti, Manuel Luis Martino +1
In this paper, we propose a general bi-objective model for portfolio selection, aiming to maximize both a diversification measure and the portfolio expected return. Within this gen…