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

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)513-516
Number of pages4
JournalOperations Research Letters
Volume50
Issue number5
DOIs
StatePublished - 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

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