Investments in firms related to environment, social responsibility and corporate governance (ESG) aspects have recently grown, attracting interest from both academic research and investment fund practice. This paper develops a simple new portfolio optimization approach to include ESG in...

In mean-variance portfolio optimization, factor models can accelerate computation, reduce input requirements, facilitate understanding and allow easy adjustment to changing conditions more effectively than full covariance matrix estimation. In this paper, we develop a factor model-based...