Monday, 25 May 2026, 13.15
Seminar room, third floor,
building 14, Via Bonardi 9, Milano (Leonardo Campus); online (Microsoft Teams), Link
Gabriele Sbaiz (University of Trieste)
Title: Environmental impact into multi-objective portfolio allocations
Abstract: In this talk, we tackle a sustainable multi-objective optimization problem in which we aim to maximize a mean-risk ratio while, at the same time, minimizing the environmental impact. More specifically, the mean-risk metric is represented by the Stable Tail Adjusted Return ratio, which penalizes only downside tail-risk and incorporates skewness and fat-tail information. In the portfolio construction, we consider the classical constraints concerning full investment and buy-in threshold requirements. To deal with these new asset allocation models, we develop an improved Multi-Objective Particle Swarm Optimizer (MOPSO) embedded with a repair-projection mechanism to satisfy the constraints. Moreover, we implement a deep learning architecture to improve the estimation quality of the mean-risk measure and to speed up the MOPSO solver. Finally, we conduct empirical tests on a European dataset to illustrate the effectiveness of the proposed strategies, accounting for different levels of environmental awareness. All news can be found on the QFinLab webpage. The organizers: Michele Azzone and Alessandro Calvia