A0344
Title: Reconciling returns data and ESG criteria: Integrating responsibility into mean-variance portfolio construction
Authors: Tomer Shushi - Ben Gurion University of the Negev (Israel) [presenting]
Abstract: Socially responsible portfolio selection has recently gained much attention. Environmental, social, and governance (ESG) scores offer a means to quantify a company's contributions to both the environment and society. Novel frameworks are proposed for optimal portfolio selection that provide a tradeoff between entirely focusing on the historical data of each of the stocks in the portfolio and entirely focusing on their ESG scores. To obtain the optimal weights as part of the portfolio selection process, a multivariate constrained optimization problem needs to be solved. An explicit solution is proposed for such a problem, and it is explored using empirical illustrations for the mean-variance, tail-value-at-risk measures, and other classes of risk measures.
