Advancing ESG Portfolio Optimization: Methods, Progress, and Future Directions

Arisona Lestari Billah (arisona_billah@sbm-itb.ac.id)
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Arisona Lestari Billah: School of Business and Management, Institut Teknologi Bandung, Indonesia Author-2-Name: Deddy P Koesrindartoto Author-2-Workplace-Name: School of Business and Management, Institut Teknologi Bandung, 40116 Indonesia Author-3-Name: Taufik Faturohman Author-3-Workplace-Name: School of Business and Management, Institut Teknologi Bandung, 40116 Indonesia Author-4-Name: Author-4-Workplace-Name: Author-5-Name: Author-5-Workplace-Name: Author-6-Name: Author-6-Workplace-Name: Author-7-Name: Author-7-Workplace-Name: Author-8-Name: Author-8-Workplace-Name:

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Abstract: " Objective - The integration of environmental, social, and governance (ESG) criteria into investment portfolios has emerged as a critical field of study, underscoring the interconnectedness between financial markets and global sustainability objectives. Methodology/Technique - This systematic literature review analyzes 157 academic documents, focusing on ESG portfolio optimization methodologies and identifying emerging trends. Key methods reviewed include genetic algorithms, dynamic optimization models, multi-objective optimization frameworks, and machine learning techniques. Findings - Despite considerable advancements, gaps remain, such as the need for broader application across diverse markets and asset classes, improved risk-return assessments, and standardized ESG data reporting. Future research should also investigate the role of central banks and regulators in fostering sustainable finance. Novelty - By addressing these gaps, stakeholders can better align investment practices with sustainability goals, contributing to a more resilient and inclusive global economy. Type of Paper - Review"

Keywords: Sustainable Investment; Sustainable Finance; ESG Portfolio Performance; ESG Risk Management; ESG Portfolio Optimization (search for similar items in EconPapers)
JEL-codes: G11 G28 G32 Q56 (search for similar items in EconPapers)
Pages: 9
Date: 2024-09-30
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Published in Accounting and Finance Review, Volume 9, Issue 2

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Persistent link: https://EconPapers.repec.org/RePEc:gtr:gatrjs:afr236

DOI: 10.35609/afr.2024.9.2(2)

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