{"id":"https://openalex.org/W7165944851","doi":"https://doi.org/10.48550/arxiv.2606.25696","title":"A Two-Stage Decision Support System for Sustainability-Aware Long Short Portfolio Optimization","display_name":"A Two-Stage Decision Support System for Sustainability-Aware Long Short Portfolio Optimization","publication_year":2026,"publication_date":"2026-06-24","ids":{"openalex":"https://openalex.org/W7165944851","doi":"https://doi.org/10.48550/arxiv.2606.25696"},"language":null,"primary_location":{"id":"doi:10.48550/arxiv.2606.25696","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2606.25696","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"type":"preprint","indexed_in":["datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.48550/arxiv.2606.25696","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083435064","display_name":"Giacomo di Tollo","orcid":"https://orcid.org/0000-0001-7044-6014"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"di Tollo, Giacomo","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5033597331","display_name":"Massimiliano Kaucic","orcid":"https://orcid.org/0000-0002-6565-0771"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Kaucic, Massimiliano","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5014155584","display_name":"Filippo Piccotto","orcid":"https://orcid.org/0000-0002-3869-1471"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Piccotto, Filippo","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.7486000061035156,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.7486000061035156,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.06400000303983688,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.025499999523162842,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/solver","display_name":"Solver","score":0.6065999865531921},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5827999711036682},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5543000102043152},{"id":"https://openalex.org/keywords/leverage","display_name":"Leverage (statistics)","score":0.541100025177002},{"id":"https://openalex.org/keywords/profitability-index","display_name":"Profitability index","score":0.525600016117096},{"id":"https://openalex.org/keywords/decision-support-system","display_name":"Decision support system","score":0.414000004529953},{"id":"https://openalex.org/keywords/particle-swarm-optimization","display_name":"Particle swarm optimization","score":0.4023999869823456},{"id":"https://openalex.org/keywords/operator","display_name":"Operator (biology)","score":0.38359999656677246}],"concepts":[{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6154000163078308},{"id":"https://openalex.org/C2778770139","wikidata":"https://www.wikidata.org/wiki/Q1966904","display_name":"Solver","level":2,"score":0.6065999865531921},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5827999711036682},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5543000102043152},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.541100025177002},{"id":"https://openalex.org/C129361004","wikidata":"https://www.wikidata.org/wiki/Q2470236","display_name":"Profitability index","level":2,"score":0.525600016117096},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5206999778747559},{"id":"https://openalex.org/C107327155","wikidata":"https://www.wikidata.org/wiki/Q330268","display_name":"Decision support system","level":2,"score":0.414000004529953},{"id":"https://openalex.org/C85617194","wikidata":"https://www.wikidata.org/wiki/Q2072794","display_name":"Particle swarm optimization","level":2,"score":0.4023999869823456},{"id":"https://openalex.org/C17020691","wikidata":"https://www.wikidata.org/wiki/Q139677","display_name":"Operator (biology)","level":5,"score":0.38359999656677246},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.3564999997615814},{"id":"https://openalex.org/C42475967","wikidata":"https://www.wikidata.org/wiki/Q194292","display_name":"Operations research","level":1,"score":0.34860000014305115},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3458000123500824},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.34529998898506165},{"id":"https://openalex.org/C206729178","wikidata":"https://www.wikidata.org/wiki/Q2271896","display_name":"Scheduling (production processes)","level":2,"score":0.3384000062942505},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.33219999074935913},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.3163999915122986},{"id":"https://openalex.org/C2780598303","wikidata":"https://www.wikidata.org/wiki/Q65921492","display_name":"Flexibility (engineering)","level":2,"score":0.2915000021457672},{"id":"https://openalex.org/C203479927","wikidata":"https://www.wikidata.org/wiki/Q5165939","display_name":"Controller (irrigation)","level":2,"score":0.2883000075817108},{"id":"https://openalex.org/C68781425","wikidata":"https://www.wikidata.org/wiki/Q2052203","display_name":"Multi-objective optimization","level":2,"score":0.28790000081062317},{"id":"https://openalex.org/C8505890","wikidata":"https://www.wikidata.org/wiki/Q605095","display_name":"Budget constraint","level":2,"score":0.2687000036239624},{"id":"https://openalex.org/C41045048","wikidata":"https://www.wikidata.org/wiki/Q202843","display_name":"Linear programming","level":2,"score":0.2655999958515167},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.265500009059906},{"id":"https://openalex.org/C199776023","wikidata":"https://www.wikidata.org/wiki/Q202875","display_name":"Negotiation","level":2,"score":0.2621999979019165}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.48550/arxiv.2606.25696","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2606.25696","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.48550/arxiv.2606.25696","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2606.25696","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/15","score":0.4466351568698883,"display_name":"Life in Land"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":[],"abstract_inverted_index":{"This":[0,45],"paper":[1],"proposes":[2],"a":[3,27,86,115,128,137],"two-stage":[4],"decision":[5],"support":[6],"system":[7],"for":[8,141],"long-short":[9,190],"portfolio":[10,88,183],"optimization":[11,89],"under":[12],"environmental,":[13],"social,":[14],"and":[15,62,70,100,133,162,194,203],"governance":[16],"(ESG)":[17],"considerations.":[18],"In":[19,80],"the":[20,38,77,81,93,122,152,159,166,176,181,204],"first":[21],"stage,":[22,83],"assets":[23,47],"are":[24],"evaluated":[25],"using":[26,37],"multi-criteria":[28],"procedure":[29],"based":[30],"on":[31,148],"TODIMSort,":[32],"with":[33,114,136],"criterion":[34],"weights":[35],"derived":[36],"MEREC":[39],"(Removal":[40],"Effects":[41],"of":[42,68,131,165,180],"Criteria)":[43],"method.":[44],"allows":[46],"to":[48,51,55,59,76,170,199],"be":[49],"assigned":[50],"classes":[52],"ordered":[53],"according":[54],"preferences":[56],"that":[57,73,91,117,188],"respond":[58],"market":[60],"conditions":[61],"investor":[63],"priorities,":[64],"thus":[65],"generating":[66],"sets":[67],"long":[69],"short":[71],"opportunities":[72],"dynamically":[74],"adapt":[75],"prevailing":[78],"regime.":[79],"second":[82],"we":[84,106],"formulate":[85],"non-convex":[87],"problem":[90],"maximizes":[92],"Omega":[94],"ratio":[95],"while":[96],"respecting":[97],"budget,":[98],"bound":[99],"leverage":[101],"constraints.":[102],"To":[103],"solve":[104],"it,":[105],"introduce":[107],"an":[108],"adaptive":[109],"particle":[110],"swarm":[111],"solver":[112,168],"equipped":[113],"controller":[116],"selects,":[118],"at":[119],"each":[120],"iteration,":[121],"most":[123],"suitable":[124],"recombination":[125],"operator":[126],"from":[127],"diverse":[129],"pool":[130],"operators":[132],"combines":[134],"it":[135],"projection-based":[138],"repair":[139],"mechanism":[140],"constraint":[142],"management.":[143],"The":[144,185],"empirical":[145],"study,":[146],"conducted":[147],"421":[149],"stocks":[150],"in":[151],"STOXX":[153],"Europe":[154],"600":[155],"index,":[156],"examines":[157],"both":[158],"exploration":[160],"capabilities":[161],"solution":[163],"quality":[164],"proposed":[167],"compared":[169,198],"state-of-the-art":[171],"benchmarks,":[172],"as":[173,175],"well":[174],"ex":[177],"post":[178],"profitability":[179],"resulting":[182],"strategies.":[184],"results":[186],"show":[187],"ESG-enhanced":[189],"portfolios":[191],"offer":[192],"competitive":[193],"often":[195],"superior":[196],"performance":[197],"their":[200],"non-ESG":[201],"counterparts":[202],"market-value-weighted":[205],"benchmark.":[206]},"counts_by_year":[],"updated_date":"2026-07-01T06:00:48.157686","created_date":"2026-06-26T00:00:00"}
