- Andersson, M. ; Bolton, P. ; Samama, F. Hedging climate risk. 2016 Financ Anal J. 72 13-32
Paper not yet in RePEc: Add citation now
Anquetin, T. ; Coqueret, G. ; Tavin, B. ; Welgryn, L. Scopes of carbon emissions and their impact on green portfolios. 2022 Econ Model. 115 -
- Arreola Hernandez, J. ; Al Janabi, M.A. ; Hammoudeh, S. ; Khuong Nguyen, D. Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios. 2015 J Asset Manag. 16 467-483
Paper not yet in RePEc: Add citation now
Aswani, J. ; Raghunandan, A. ; Rajgopal, S. Are carbon emissions associated with stock returns?. 2024 Rev Financ. 28 107-109
Avramov, D. ; Cheng, S. ; Lioui, A. ; Tarelli, A. Sustainable investing with ESG rating uncertainty. 2022 J Financ Econ. 145 642-664
Azimli, A. Degree and structure of return dependence among commodities, energy stocks and international equity markets during the post-COVID-19 period. 2022 Resour Policy. 77 -
Bell, D.E. Regret in decision making under uncertainty. 1982 Oper Res. 30 961-981
- Blitz, D. ; Hoogteijling, T. Carbon-tax-adjusted value. 2020 J Portf Manag. 48 121-137
Paper not yet in RePEc: Add citation now
- Bolton, P. ; Kacperczyk, M. Do investors care about carbon risk?. 2021 J Financ Econ. 142 517-549
Paper not yet in RePEc: Add citation now
- Bolton, P. ; Kacperczyk, M. Global pricing of carbon-transition risk. 2023 J Financ. 78 3677-3754
Paper not yet in RePEc: Add citation now
Carroll, D.A. ; Stevens, K.A. The short-term impact on emissions and federal tax revenue of a carbon tax in the US electricity sector. 2021 Energy Policy. 158 -
Charnes, A. ; Cooper, W.W. ; Rhodes, E. Measuring the efficiency of decision making units. 1978 European J Oper Res. 2 429-444
Chen, C. ; Liu, D.H. ; Xian, L. ; Pan, L. ; Wang, L.H. ; Yang, M. ; Quan, L. Best-case scenario robust portfolio for energy stock market. 2020 Energy. 213 -
- Chen, Q.X. ; Chen, S.Q. ; Liu, D. Regret-based cross efficiency evaluation method in a general two-stage DEA system. 2023 Comput Ind Eng. 175 -
Paper not yet in RePEc: Add citation now
Cheng, G. ; Zervopoulos, P. ; Qian, Z.H. A variant of radial measure capable of dealing with negative inputs and outputs in data envelopment analysis. 2013 Eur J Oper Res. 225 100-105
Chincarini, L.B. ; Moneta, F. The challenges of oil investing: Contango and the financialization of commodities. 2021 Energy Econ. 102 -
- Doyle, J. ; Green, R. Efficiency and cross-efficiency in DEA: Derivations, meanings and uses. 1994 J Oper Res Soc. 45 567-578
Paper not yet in RePEc: Add citation now
- Ebrahimi, B. ; Tavana, M. ; Toloo, M. ; Charles, V. A novel mixed binary linear DEA model for ranking decision-making units with preference information. 2020 Comput Ind Eng. 149 -
Paper not yet in RePEc: Add citation now
Ehlers, T. ; Packer, F. ; De Greiff, K. The pricing of carbon risk in syndicated loans: Which risks are priced and why?. 2022 J Bank Financ. 136 -
Emrouznejad, A. ; Anouze, A.L. ; Thanassoulis, E. A semi-oriented radial measure for measuring the efficiency of decision making units with negative data, using DEA. 2010 Eur J Oper Res. 200 297-304
Esparcia, C. ; Diaz, A. ; Alonso, D. How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study. 2023 Energy Econ. 128 -
Essid, H. ; Ganouati, J. ; Vigeant, S. A mean-maverick game cross-efficiency approach to portfolio selection: An application to Paris stock exchange. 2018 Expert Syst Appl. 113 161-185
- Essid, H. ; Ouellette, P. ; Vigeant, S. Productivity, efficiency, and technical change of Tunisian schools: A bootstrapped Malmquist approach with quasi-fixed inputs. 2014 Omega. 42 88-97
Paper not yet in RePEc: Add citation now
Fahmy, H. The rise in investors’ awareness of climate risks after the Paris Agreement and the clean energy-oil-technology prices nexus. 2022 Energy Econ. 106 -
Fuss, S. ; Szolgayová, J. ; Khabarov, N. ; Obersteiner, M. Renewables and climate change mitigation: Irreversible energy investment under uncertainty and portfolio effects. 2012 Energy Policy. 40 59-68
Gasser, S.M. ; Rammerstorfer, M. ; Weinmayer, K. Markowitz revisited: Social portfolio engineering. 2017 Eur J Oper Res. 258 1181-1190
- Goel, A. ; Sharma, A. ; Mehra, A. Index tracking and enhanced indexing using mixed conditional value-at-risk. 2018 J Comput Appl Math. 335 361-380
Paper not yet in RePEc: Add citation now
- Gong, X.M. ; Yu, C.R. ; Min, L.Y. ; Ge, Z.P. Regret theory-based fuzzy multi-objective portfolio selection model involving DEA cross-efficiency and higher moments. 2021 Appl Soft Comput. 100 -
Paper not yet in RePEc: Add citation now
Guastaroba, G. ; Mansini, R. ; Ogryczak, W. ; Speranza, M.G. Enhanced index tracking with CVaR-based ratio measures. 2020 Ann Oper Res. 292 883-931
Huang, D. ; Zhu, S. ; Fabozzi, F.J. ; Fukushima, M. Portfolio selection under distributional uncertainty: A relative robust CVaR approach. 2010 Eur J Oper Res. 203 185-194
Jin, F.F. ; Cai, Y.H. ; Zhou, L.G. ; Ding, T. Regret-rejoice two-stage multiplicative DEA models-driven cross-efficiency evaluation with probabilistic linguistic information. 2023 Omega. 117 -
- Joro, T. ; Na, P. Portfolio performance evaluation in a mean–variance-skewness framework. 2006 Eur J Oper Res. 175 446-461
Paper not yet in RePEc: Add citation now
Kahneman, D. ; Tversky, A. Prospect theory: An analysis of decision under risk. 1979 Econometrica. 47 263-292
Kuang, W. Which clean energy sectors are attractive? A portfolio diversification perspective. 2021 Energy Econ. 104 -
Kuo, T. A modified TOPSIS with a different ranking index. 2017 Eur J Oper Res. 260 152-160
Lin, R.Y. Cross-efficiency evaluation capable of dealing with negative data: A directional distance function based approach. 2020 J Oper Res Soc. 71 505-516
Liu, H.H. ; Song, Y.Y. ; Yang, G.L. Cross-efficiency evaluation in data envelopment analysis based on prospect theory. 2019 Eur J Oper Res. 273 364-375
Luo, C. ; Seco, L. ; Wu, L.L.B. Portfolio optimization in hedge funds by OGARCH and Markov Switching Model. 2015 Omega. 57 34-39
Mansini, R. ; Ogryczak, W. ; Speranza, M.G. Conditional value at risk and related linear programming models for portfolio optimization. 2007 Ann Oper Res. 152 227-256
Markowitz, H. Portfolio selection. 1952 J Financ. 7 77-91
Nath, S. The business of virtue: evidence from socially responsible investing in financial markets. 2021 J Bus Ethics. 169 181-199
Oestreich, A.M. ; Tsiakas, I. Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme. 2015 J Bank Financ. 58 294-308
Pedersen, L.H. ; Fitzgibbons, S. ; Pomorski, L. Responsible investing: The ESG-efficient frontier. 2021 J Financ Econ. 142 572-597
Portela, M. ; Thanassoulis, E. ; Simpson, G. Negative data in DEA: A directional distance approach applied to bank branches. 2004 J Oper Res Soc. 55 1111-1121
Rehman, M.U. ; Vo, X.V. ; McIver, R. ; Kang, S.H. Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions. 2022 Energy Econ. 108 -
Renneboog, L. ; Ter Horst, J. ; Zhang, C. Socially responsible investments: Institutional aspects, performance, and investor behavior. 2008 J Bank Financ. 32 1723-1742
- Rockafellar, R.T. ; Uryasev, S. Optimization of conditional value-at-risk. 2000 J Risk. 2 21-42
Paper not yet in RePEc: Add citation now
Royston, S. ; Selby, J. ; Shove, E. Invisible energy policies: A new agenda for energy demand reduction. 2018 Energy Policy. 123 127-135
Ruiz, J.L. Cross-efficiency evaluation with directional distance functions. 2013 Eur J Oper Res. 228 181-189
- Sadeghi, M. ; Shavvalpour, S. Energy risk management and value at risk modeling. 2006 Energy Policy. 34 3367-3373
Paper not yet in RePEc: Add citation now
Scheel, H. Undesirable outputs in efficiency valuations. 2001 Eur J Oper Res. 132 400-410
Sehgal, R. ; Mehra, A. Enhanced indexing using weighted conditional value at risk. 2019 Ann Oper Res. 280 211-240
Simar, L. ; Wilson, P.W. Sensitivity analysis of efficiency scores: How to bootstrap in nonparametric frontier models. 1998 Manage Sci. 44 49-61
- Song, X.H. ; Han, J.J. ; Shan, Y.Q. ; Zhao, C.P. ; Liu, J.P. ; Kou, Y.F. Efficiency of tradable green certificate markets in China. 2020 J Clean Prod. 264 -
Paper not yet in RePEc: Add citation now
- Srivastava, S. ; Aggarwal, A. ; Bansal, P. Efficiency evaluation of assets and optimal portfolio generation by cross efficiency and cumulative prospect theory. 2022 Comput Econ. 1-30
Paper not yet in RePEc: Add citation now
Tarnaud, A.C. ; Leleu, H. Portfolio analysis with DEA: Prior to choosing a model. 2018 Omega. 75 57-76
Tolmasky, C. ; Hindanov, D. Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum market. 2002 J Futures Mark. 22 1019-1035
Vo, N.N. ; He, X. ; Liu, S. ; Xu, G. Deep learning for decision making and the optimization of socially responsible investments and portfolio. 2019 Decis Support Syst. 124 -
- Wei, F.Q. ; Song, J.Y. ; Jiao, C.Y. ; Yang, F. A modified slacks-based ranking method handling negative data in data envelopment analysis. 2019 Expert Syst. 36 -
Paper not yet in RePEc: Add citation now
- Wu, J. ; Sun, J.S. ; Liang, L. Cross efficiency evaluation method based on weight-balanced data envelopment analysis model. 2012 Comput Ind Eng. 63 513-519
Paper not yet in RePEc: Add citation now
Wu, Y. ; Huang, L. ; Jiang, H. Optimization of large portfolio allocation for new-energy stocks: Evidence from China. 2023 Energy. 285 -
Xu, W. ; Ma, F. ; Chen, W. ; Zhang, B. Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States. 2019 Energy Econ. 80 310-320
Yang, Z. ; Zhou, Y. Quantitative easing and volatility spillovers across countries and asset classes. 2017 Manage Sci. 63 333-354
Yoshino, N. ; Taghizadeh-Hesary, F. ; Otsuka, M. Covid-19 and optimal portfolio selection for investment in sustainable development goals. 2021 Financ Res Lett. 38 -
- Yu, J.R. ; Chiou, W.J.P. ; Lee, W.Y. ; Chuang, T.Y. Realized performance of robust portfolios: Worst-case Omega vs. CVaR-related models. 2019 Comput Oper Res. 104 239-255
Paper not yet in RePEc: Add citation now
- Zhang, W.G. ; Liu, Y.J. Credibilitic mean–variance model for multi-period portfolio selection problem with risk control. 2014 OR Spectrum. 36 113-132
Paper not yet in RePEc: Add citation now
Zhang, Y.J. ; Chen, M.Y. Evaluating the dynamic performance of energy portfolios: Empirical evidence from the DEA directional distance function. 2018 Eur J Oper Res. 269 64-78
Zhou, Z.Z. ; Gao, M. ; Xiao, H.L. ; Wang, R. ; Liu, W.B. Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources. 2021 Omega. 104 -
Zhu, S. ; Fukushima, M. Worst-case conditional value-at-risk with application to robust portfolio management. 2009 Oper Res. 57 1155-1168