Herzel, Stefano; Starica, Catalin; Nicolosi, Marco - Dipartimento di Economia, Università degli Studi di Perugia - 2011
We examine the impact of including sustainability related constraints on optimal portfolio selection. Our analysis covers an investment set containing the components of the S&P500 index from 1993 to 2008. The optimizations are performed according to the classical mean-variance approach while...