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Quantification of sustainability in asset management: a comprehensive study on ESG portfolio allocation
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| 850.15 KB | Adobe PDF |
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Resumo(s)
This thesis explores the impact of ESG criteria on investment portfolios through the lens of
the Modern Portfolio Theory. Utilizing MSCI indexes, it analyzes various portfolio
construction methods, including the Sample Statistics and Exponentially Weighted Moving
Average. The findings reveal that ESG portfolios in Global Minimum Variance strategies,
present better risk-adjusted returns, consistently delivering a higher Sharpe Ratio with respect
to the traditional counterparts. However, traditional portfolios perform better in terms of
Sharpe Ratio when the Maximum Sharpe strategy is employed.
Descrição
Palavras-chave
Esg integration Sustainable finance Esg investing Portfolio allocation Risk-adjusted performance Portfolio management