... initial one-asset market-only investment position, she views and handles this issue as a portfolio problem (MPT). She estimates value-at-risk (VaR) and conditional-value-at-risk (CVaR) for portfolios to account for downside risk. Findings Green investments offer better overall risk-return optimization...

... as the downside risk of a bad outcome that upsets our planned outcomes and cash flows. Consequently, in this paper we treat risk from the practitioner’s perspective as the downside risk of an unplanned and undesirable event which has a rather small probability of occurrence. This allows us to capture...