The optimal solution of ESG portfolio selection models that are based on the average ESG score

Tomer Shushi

doi:10.1016/j.orl.2022.07.008

The optimal solution of ESG portfolio selection models that are based on the average ESG score

Tomer Shushi

Department of Business Administration

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

Recently, various models have been proposed to engage portfolio selection or ESG investments. In this brief report, we solve the problem of optimal portfolio selection of arbitrary ESG utility functions where the ESG preference function is based on the average ESG score. The proposed optimal solution shows that the impact of the ESG score and the expected return vectors on the optimal weights are equal, up to a scalar, regardless of the utility function of the investors.

Original language	English
Pages (from-to)	513-516
Number of pages	4
Journal	Operations Research Letters
Volume	50
Issue number	5
DOIs	https://doi.org/10.1016/j.orl.2022.07.008
State	Published - 1 Sep 2022

Keywords

ESG, socially responsible investing
Impact investing
Optimal portfolio
Sustainable investing

ASJC Scopus subject areas

Software
Management Science and Operations Research
Industrial and Manufacturing Engineering
Applied Mathematics

Access to Document

10.1016/j.orl.2022.07.008

Cite this

@article{cd85f7241cc648eab4ae0464af103266,

title = "The optimal solution of ESG portfolio selection models that are based on the average ESG score",

abstract = "Recently, various models have been proposed to engage portfolio selection or ESG investments. In this brief report, we solve the problem of optimal portfolio selection of arbitrary ESG utility functions where the ESG preference function is based on the average ESG score. The proposed optimal solution shows that the impact of the ESG score and the expected return vectors on the optimal weights are equal, up to a scalar, regardless of the utility function of the investors.",

keywords = "ESG, socially responsible investing, Impact investing, Optimal portfolio, Sustainable investing",

author = "Tomer Shushi",

note = "Publisher Copyright: {\textcopyright} 2022 Elsevier B.V.",

year = "2022",

month = sep,

day = "1",

doi = "10.1016/j.orl.2022.07.008",

language = "English",

volume = "50",

pages = "513--516",

journal = "Operations Research Letters",

issn = "0167-6377",

publisher = "Elsevier B.V.",

number = "5",

}

TY - JOUR

T1 - The optimal solution of ESG portfolio selection models that are based on the average ESG score

AU - Shushi, Tomer

PY - 2022/9/1

Y1 - 2022/9/1

N2 - Recently, various models have been proposed to engage portfolio selection or ESG investments. In this brief report, we solve the problem of optimal portfolio selection of arbitrary ESG utility functions where the ESG preference function is based on the average ESG score. The proposed optimal solution shows that the impact of the ESG score and the expected return vectors on the optimal weights are equal, up to a scalar, regardless of the utility function of the investors.

AB - Recently, various models have been proposed to engage portfolio selection or ESG investments. In this brief report, we solve the problem of optimal portfolio selection of arbitrary ESG utility functions where the ESG preference function is based on the average ESG score. The proposed optimal solution shows that the impact of the ESG score and the expected return vectors on the optimal weights are equal, up to a scalar, regardless of the utility function of the investors.

KW - ESG, socially responsible investing

KW - Impact investing

KW - Optimal portfolio

KW - Sustainable investing

UR - http://www.scopus.com/inward/record.url?scp=85135527478&partnerID=8YFLogxK

U2 - 10.1016/j.orl.2022.07.008

DO - 10.1016/j.orl.2022.07.008

M3 - Article

AN - SCOPUS:85135527478

SN - 0167-6377

VL - 50

SP - 513

EP - 516

JO - Operations Research Letters

JF - Operations Research Letters

IS - 5

ER -

The optimal solution of ESG portfolio selection models that are based on the average ESG score

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this