MOPO-LSI: A User Guide

Paper: arXiv 2307.01719

Abstract

MOPO-LSI is an open-source Multi-Objective Portfolio Optimization Library for Sustainable Investments. This document provides a user guide for MOPO-LSI version 1.0, including problem setup, workflow and the hyper-parameters in configurations.

Complexity vs Empirical Score

• Math Complexity: 6.5/10
• Empirical Rigor: 4.0/10
• Quadrant: Lab Rats — theoretically deep, empirically untested

Why this score: The paper introduces substantial mathematical formulation for multi-objective optimization (weighted sums, convex optimization, MOEA algorithms) but provides only a user guide and workflow description, lacking backtesting results, performance metrics, or implementation-heavy data processing details.

Research Flowchart

  flowchart TD
  A["Research Goal<br>Optimize Sustainable Investment<br>Portfolios"] --> B["Inputs: ESG Scores &<br>Financial Data"]
  B --> C["Methodology: Multi-Objective<br>Optimization Setup"]
  C --> D["Computation:<br>MOPO-LSI Engine"]
  D --> E["Outputs: Pareto-optimal<br>Portfolios"]
  E --> F["Outcomes: Trade-off Analysis<br>between Return & Sustainability"]