A1342
Title: Optimal portfolio choice with ESG considerations and asymmetric information
Authors: Haibo Liu - Purdue University (United States) [presenting]
Abstract: Portfolio optimization problems incorporating environmental, social, and governance (ESG) factors are studied for three types of investors, namely brown investors who care only about their wealth, green investors who prefer assets with high ESG ratings, and mixed investors who take a position between the two. Given that some ESG ratings are not publicly available, a distinction is made between different levels of ESG information accessibility for these investors. The impact of ESG preferences and ESG information accessibility on investment strategies is explored, addressing issues such as the components of optimal portfolios of different investors and the utility indifference value of nonpublic ESG information.
