ESG optimal portfolios under ratings ambiguity

Davide Lauria, Marco Bonomelli, Gabriele Torri and Rosella Giacometti

Chapter 8 in Handbook of ESG Investing, 2026, pp 145-172 from Edward Elgar Publishing

Abstract: This chapter reviews recent advances in optimal portfolio construction that integrate environmental, social, and governance (ESG) objectives. We focus in particular on methods for building ESG-enhanced portfolios when the true ESG profile of assets is uncertain. The chapter highlights practical approaches to implementing portfolio strategies that reflect ESG preferences by (i) analyzing the impact of ESG rating disagreement on portfolio performance, and (ii) presenting aggregation methods for constructing optimal portfolios that combine ESG scores from multiple sources. The empirical analysis is conducted on the universe of the stock prices included in the Standard & Poor's 500 index and corresponding ESG ratings from five distinct agencies.

Keywords: ESG; Optimal Portfolios; ESG Ambiguity (search for similar items in EconPapers)
Date: 2026
ISBN: 9781035322770
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