This paper evaluates a simple and cost-efficient investment strategy based on Prospect Theory Value (PTV) and Environmental, Social, and Governance (ESG). Monthly quartile portfolios of ESG-labeled companies are constructed based on their PTV and ESG scores in the closely monitored energy...

This paper empirically studies the financial performance of energy asset allocation strategies under green and brown preferences. We assume that green investors and traditional or brown energy investors behave differently in their investment decisions. Thus, our optimal portfolio choice is...