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Real-world datasets for sustainable portfolio selection

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Real-world datasets for sustainable portfolio selection

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dc.contributor.author García Bernabeu, Ana María es_ES
dc.date.accessioned 2023-11-28T10:49:43Z
dc.date.available 2023-11-28T10:49:43Z
dc.date.issued 2023-12-01
dc.identifier.uri http://hdl.handle.net/10251/200260
dc.description.abstract The numerical information in these datasets consists of two files. The first file (Dataset_SRI.xlsx) contains the asset data of monthly returns and ESG risk scores for three fund managers from January 2011 to December 2019. The second file (Pareto_Fronts.xlsx) contains the mean-variance-ESG Pareto fronts and the Pareto sets of non-dominated solutions for each manager obtained using the ev-MOGA algorithm. To get these Pareto fronts, we have considered an in-sample period of 72 monthly returns over six years from January 2011 to December 2016. To implement the ev-MOGA algorithm, we use an initial population of 50000 individuals and an auxiliary population of 500. The number of boxes defining the space of each function is 100. es_ES
dc.language Inglés es_ES
dc.publisher Universitat Politècnica de València es_ES
dc.rights Reconocimiento - No comercial (by-nc) es_ES
dc.subject Multicriteria techniques es_ES
dc.subject ESG criteria es_ES
dc.subject Portfolio Optimization es_ES
dc.subject.classification ESTADISTICA E INVESTIGACION OPERATIVA es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.subject.classification ECONOMIA APLICADA es_ES
dc.title Real-world datasets for sustainable portfolio selection es_ES
dc.type Dataset es_ES
dc.identifier.doi 10.4995/Dataset/10251/200260 es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Grupo de Economía Internacional es_ES
dc.description.bibliographicCitation García Bernabeu, AM. (2023). Real-world datasets for sustainable portfolio selection. Universitat Politècnica de València. https://doi.org/10.4995/Dataset/10251/200260 es_ES
dc.type.version info:eu-repo/semantics/submittedVersion es_ES


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