A Two-Stage Decision Support System for Sustainability-Aware Long Short Portfolio Optimization
A 2026 paper by di Tollo, Kaucic and Piccotto on portfolio optimization in equities: the abstract mentions profits and the size of the universe and leaves out a benchmark, an out-of-sample test, transaction costs and multiple testing.
“The empirical study, conducted on 421 stocks in the STOXX Europe 600 index, examines both the exploration capabilities and solution quality of the proposed solver compared to state-of-the-art benchmarks, as well as the ex post profitability of the resulting portfolio strategies.”
AssetEquitiesindices, single stocks
StrategyPortfolio optimization
GeographyEurope
ClaimProfit
Also stated: Long-short, universe of 421 stocks
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing
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The paper's neighbourhoodPortfolio optimization by year
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