A note on Steuer and Utz’s (2023) multi-objective optimization approach for generating sustainability-efficient fronts

Marcel Marohn and Benjamin R. Auer

European Journal of Operational Research, 2024, vol. 316, issue 2, 792-797

Abstract: Motivated by the increasing importance of sustainability in investing, Steuer and Utz (2023) propose a new approach for integrating environmental, social and governance (ESG) scores into the portfolio selection process. These authors claim that their multi-objective portfolio optimization problem always provides mean-variance-ESG-efficient solutions because it belongs to the class of ϵ-constraint problems. Contending that this classification is problematic, we show that the developed approach cannot guarantee efficient portfolios.

Keywords: Portfolio selection; Multi-criteria optimization; Sustainability integration; Efficient frontiers; ε-constraint problems (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:316:y:2024:i:2:p:792-797

DOI: 10.1016/j.ejor.2024.03.023

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