Uma análise de otimização asg à luz das premissas de finanças comportamentais

An analysis of esg optimization in the light of behavioral finance

Eduardo Borges da Silva and Vitor Emanuel M. Oliveira

MPRA Paper from University Library of Munich, Germany

Abstract: The significant growth in discussions on the relationship between finance and sustainability has as its central point the wondering whether it is possible to have synergy between the generation of alpha in the return and profitability of an asset that has a sustainable identity and composition. In this context, this paper looks forward to analyze the theme of sustainability, represented by the ESG assumptions - Environmental, Social and Governance, under the theoretical bias of behavioral finance. Just as the heuristics and the Prospect Theory represented a counterpoint to the premise of strict rationality of economic agents, provided for by the Modern Theory of Finance, the ESG, based on this new perspective for decision-making, seeks to assert that it is possible to generate value with adoption and filters of sustainable assumptions. The emphasis of the work is to verify, through optimization at the Markowitz Efficient Frontier, whether a sustainable portfolio, represented by the Índice de Sustentabilidade Empresarial - ISE, can present a better risk-adjusted return performance, compared to the benchmark of the market portfolio, represented by the Índice Ibovespa – IBOV.

Keywords: ESG; behavioral finance; portfolio management (search for similar items in EconPapers)
JEL-codes: G00 G02 G21 G3 G30 (search for similar items in EconPapers)
Date: 2022-11-15
New Economics Papers: this item is included in nep-env, nep-hme and nep-upt
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