Weak Supervision and Black-Litterman for Automated ESG Portfolio Construction

Alik Sokolov; Kyle Caverly; Jonathan Mostovoy; Talal Fahoum; Luis Seco

doi:10.3905/jfds.2021.1.070

Weak Supervision and Black-Litterman for Automated ESG Portfolio Construction

Alik Sokolov, Kyle Caverly, Jonathan Mostovoy, Talal Fahoum and Luis Seco

The Journal of Financial Data Science Summer 2021, jfds.2021.1.070; DOI: https://doi.org/10.3905/jfds.2021.1.070

Alik Sokolov

is the managing director of machine learning at RiskLab at the University of Toronto in Toronto, Canada

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Kyle Caverly

is a machine learning researcher at RiskLab at the University of Toronto in Toronto, Canada

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Jonathan Mostovoy

is the managing director of research and partnerships at RiskLab at the University of Toronto in Toronto, Canada

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Talal Fahoum

is a research analyst at RiskLab at the University of Toronto in Toronto, Canada

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Luis Seco

is the head of RiskLab and director of the mathematical finance program at the University of Toronto in Toronto, Canada, CEO of GGSJ Centre, and CEO of Sigma Analysis & Management, Ltd

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The Journal of Financial Data Science

Vol. 4, Issue 3

Summer 2022

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Weak Supervision and Black-Litterman for Automated ESG Portfolio Construction