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The Journal of Impact and ESG Investing

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Measuring and Optimizing the Risk and Reward of Green Portfolios

Andrew W. Lo, Ruixun Zhang and Chaoyi Zhao
The Journal of Impact and ESG Investing Winter 2022, jesg.2022.1.062; DOI: https://doi.org/10.3905/jesg.2022.1.062
Andrew W. Lo
is the Charles E. and Susan T. Harris Professor at MIT Sloan School of Management; the director of the MIT Laboratory for Financial Engineering; the principal investigator at the MIT Computer Science and Artificial Intelligence Laboratory in Cambridge, MA; and an external faculty member at Santa Fe Institute in Santa Fe, NM
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Ruixun Zhang
is an assistant professor and Boya Young Fellow at the Peking University School of Mathematical Sciences, Laboratory for Mathematical Economics and Quantitative Finance, Center for Statistical Science, and National Engineering Laboratory for Big Data Analysis and Applications in Beijing, China
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Chaoyi Zhao
is a graduate student at the Peking University School of Mathematical Sciences in Beijing, China
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Article Information

jesg.2022.1.062
DOI 
https://doi.org/10.3905/jesg.2022.1.062

Published By 
Pageant Media Ltd
Print ISSN 
2693-1982
Online ISSN 
2693-1974
History 
  • Published online November 5, 2022.

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  • You are currently viewing a Latest version of this article (November 5, 2022 - 05:05).
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© 2022 Pageant Media Ltd

Author Information

  1. Andrew W. Lo
    1. is the Charles E. and Susan T. Harris Professor at MIT Sloan School of Management; the director of the MIT Laboratory for Financial Engineering; the principal investigator at the MIT Computer Science and Artificial Intelligence Laboratory in Cambridge, MA; and an external faculty member at Santa Fe Institute in Santa Fe, NM. (alo-admin{at}mit.edu)
  2. Ruixun Zhang
    1. is an assistant professor and Boya Young Fellow at the Peking University School of Mathematical Sciences, Laboratory for Mathematical Economics and Quantitative Finance, Center for Statistical Science, and National Engineering Laboratory for Big Data Analysis and Applications in Beijing, China. (zhangruixun{at}pku.edu.cn)
  3. Chaoyi Zhao
    1. is a graduate student at the Peking University School of Mathematical Sciences in Beijing, China. (zhaochaoyi{at}pku.edu.cn)
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The Journal of Impact and ESG Investing: 3 (2)
The Journal of Impact and ESG Investing
Vol. 3, Issue 2
Winter 2022
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Measuring and Optimizing the Risk and Reward of Green Portfolios
Andrew W. Lo, Ruixun Zhang, Chaoyi Zhao
The Journal of Impact and ESG Investing Nov 2022, jesg.2022.1.062; DOI: 10.3905/jesg.2022.1.062

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Measuring and Optimizing the Risk and Reward of Green Portfolios
Andrew W. Lo, Ruixun Zhang, Chaoyi Zhao
The Journal of Impact and ESG Investing Nov 2022, jesg.2022.1.062; DOI: 10.3905/jesg.2022.1.062
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  • Article
    • Abstract
    • DATA
    • ANALYSIS OF ENVIRONMENTAL MEASURES
    • PORTFOLIO CONSTRUCTION
    • PERFORMANCE OF LOW-CARBON PORTFOLIOS
    • WATER, WASTE, AND OTHER GREEN PORTFOLIOS
    • GREEN PORTFOLIOS IN THE CHINESE MARKET
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • ENDNOTES
    • REFERENCES
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