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A bilevel approach to ESG multi-portfolio selection

Author

Listed:
  • Francesco Cesarone

    (Roma Tre University)

  • Lorenzo Lampariello

    (Roma Tre University)

  • Davide Merolla

    (Sapienza University of Rome)

  • Jacopo Maria Ricci

    (University of Bergamo)

  • Simone Sagratella

    (Sapienza University of Rome)

  • Valerio Giuseppe Sasso

    (Sapienza University of Rome)

Abstract

We rely on bilevel programming to model the problem of financial service providers that, in order to meet stakeholders’ demands and regulatory requirements, aim at incentivizing accounts’ holders to construct ESG-oriented portfolios so that the overall ESG impact of the firm is optimized, while the preferences of accounts’ owners are still satisfied. We analyze this complicated framework from a theoretical point of view and identify sufficient conditions that make it numerically tractable via a novel, specifically tailored algorithm, whose convergence properties are studied. Numerical testing on real-world data confirms the theoretical insights and shows that our model can be solved even when dealing with considerable problem sizes.

Suggested Citation

  • Francesco Cesarone & Lorenzo Lampariello & Davide Merolla & Jacopo Maria Ricci & Simone Sagratella & Valerio Giuseppe Sasso, 2023. "A bilevel approach to ESG multi-portfolio selection," Computational Management Science, Springer, vol. 20(1), pages 1-23, December.
  • Handle: RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00458-y
    DOI: 10.1007/s10287-023-00458-y
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    References listed on IDEAS

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    1. Marta Szczepańczyk & Paweł Nowodziński & Adam Sikorski, 2023. "ESG Strategy and Financial Aspects Using the Example of an Oil and Gas Midstream Company: The UNIMOT Group," Sustainability, MDPI, vol. 15(18), pages 1-24, September.

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