One of the fundamental principles in portfolio selection models is minimization of risk through diversification of the investment. However, this principle does not necessarily translate into a request for investing in all the assets of the investment universe. Indeed, following a line of...

We present a framework for multi-objective optimization where the classical mean-variance portfolio model is extended to integrate the environmental, social and governance (ESG) criteria on the same playing field as risk and return and, at the same time, to reflect the investors' preferences in...