Optimal Strategies for ESG Portfolios

Fabio Alessandrini and Eric Jondeau
Additional contact information
Fabio Alessandrini: University of Lausanne; Banque Cantonale Vaudoise

No 20-21, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: In a previous paper (Alessandrini and Jondeau, 2020), we demonstrate that in the last decade, investing according to screening based on environmental, social, and governance (ESG) criteria would have allowed investors to considerably improve the ESG quality of their portfolio without deteriorating its financial performance. However, a drawback of such a screening process is that it possibly generates undesirable regional, sectoral, and risk factor exposures. In this paper, we propose an investment strategy that maximizes the ESG quality of the portfolio while maintaining regional, sectoral, and risk factor exposures within stated limits. We provide evidence that such a portfolio would have produced a risk-adjusted performance at least as high as the standard MSCI benchmark for a wide range of ESG criteria and regions over the 2007-2018 investment period.

Pages: 48 pages
Date: 2020-04
New Economics Papers: this item is included in nep-fmk
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3578830 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2021

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().