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20112020
most citedESG investments: Filtering versus machine learning approaches

5 citations · 5 across the 1 of their papers we have counts for

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2 papers · 1 filter

q-fin.PM2020

Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution

Carmine De Franco, Johann Nicolle, Huyên Pham

We study a discrete-time portfolio selection problem with partial information and maxi\-mum drawdown constraint. Drift uncertainty in the multidimensional framework is modeled by a…

q-fin.GN2020★ 5 cited

ESG investments: Filtering versus machine learning approaches

Carmine de Franco, Christophe Geissler, Vincent Margot +1

We designed a machine learning algorithm that identifies patterns between ESG profiles and financial performances for companies in a large investment universe. The algorithm consis…