All Outputs (2)

Employing behavioural portfolio theory for sustainable investment: Examining drawdown risks and ESG factors (2024)
Journal Article
Poddara, A., Bhattacharya, S., & Bhatt, R. (online). Employing behavioural portfolio theory for sustainable investment: Examining drawdown risks and ESG factors. Investment Analysts Journal, https://doi.org/10.1080/10293523.2024.2375818

This study uses behavioural portfolio theory (BPT) within the Markowitz Portfolio Theory framework to enhance portfolio management by focusing on sustainability and risk mitigation during market downturns. It selects portfolios to hedge against marke... Read More about Employing behavioural portfolio theory for sustainable investment: Examining drawdown risks and ESG factors.

A non-linear Lasso and explainable LSTM approach for estimating tail risk interconnectedness (2024)
Journal Article
De, T. S., Karthikeya, M., & Bhattacharya, S. (online). A non-linear Lasso and explainable LSTM approach for estimating tail risk interconnectedness. Applied Economics, https://doi.org/10.1080/00036846.2024.2385747

Tail risk inter-connectivity is a significant aspect and a risk indicator that should be focused on. Many of the previous works have shown potential non-linearity in tail risk contagion. With the recent advancements in deep learning, Long-Short Term... Read More about A non-linear Lasso and explainable LSTM approach for estimating tail risk interconnectedness.