IDEAS home Printed from https://ideas.repec.org/p/chf/rpseri/rp2021.html

Optimal Strategies for ESG Portfolios

Author

Listed:
  • Fabio Alessandrini

    (University of Lausanne; Banque Cantonale Vaudoise)

  • Eric Jondeau

    (University of Lausanne - Faculty of Business and Economics (HEC Lausanne); 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.

Suggested Citation

  • Fabio Alessandrini & Eric Jondeau, 2020. "Optimal Strategies for ESG Portfolios," Swiss Finance Institute Research Paper Series 20-21, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp2021
    as

    Download full text from publisher

    File URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3578830
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Attila Banyai & Tibor Tatay & Gergo Thalmeiner & Laszlo Pataki, 2025. "Evaluating the Risk-Return Profile of a Portfolio of ESG and Traditional Assets Using a Hybrid Optimisation Model," Virtual Economics, The London Academy of Science and Business, vol. 8(1), pages 16-39, March.
    2. Maria Folqué & Elena Escrig‐Olmedo & Teresa Corzo Santamaría, 2021. "Sustainable development and financial system: Integrating ESG risks through sustainable investment strategies in a climate change context," Sustainable Development, John Wiley & Sons, Ltd., vol. 29(5), pages 876-890, September.
    3. Maria Folqué & Elena Escrig-Olmedo & Teresa Corzo Santamaría, 2024. "Integration of Advanced Sri Practices Into the European Asset Management Industry: A Survey of Drivers," SAGE Open, , vol. 14(1), pages 21582440241, March.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chf:rpseri:rp2021. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal (email available below). General contact details of provider: https://edirc.repec.org/data/fameech.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.