Mean variance portfolio theory is expanded to accommodate investors' preferences for the portfolio ESG value (PESGV). Namely, PESGV is added to the minimizing objective function so that portfolio weights are simultaneously optimized in terms of returns, risk (volatility), and PESGV. PESGV is...

"This book covers multifaceted problems and their possible solutions in sustainable investing. Written by experts in the field from academia and industry, the book includes three main topics. The general problems of sustainable investing are addressed in Part 1. They include the discussion of...

The idea behind the optimal ESG portfolio (OESGP) is to expand the mean variance theory by adding the portfolio ESG value (PESGV) multiplied by the ESG strength parameter γ (which is investor’s choice) to the minimizing objective function (Pederson et al., 2019; Schmidt, 2020). PESGV is assumed...

The optimal ESG portfolios (OESGPs) are based on the mean variance framework in which portfolio is simultaneously optimized in terms of return, risk (volatility) and portfolio ESG value (PESGV) (Pedersen et al. 2021; Schmidt 2020). PESGV is assumed to be the sum of the portfolio constituents’...

The news-based ESG ratings (NBESGRs) are a promising alternative to the widely used ESG ratings based on the corporate self-reporting. In this work, the NBESGRs derived using 26 Sustainability Accounting Standards Board (SASB) categories and the NBESGRs derived using 17 United Nations...

Two suggestions are offered to address growing criticism of the ESG-based investing. First, socially responsible investors need to use portfolio performance measure that is explicitly sensitive to the portfolio ESG value. Second, since the corporate ESG ratings are not regulated and are vaguely...