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Paper detail

ESG-Valued Portfolio Optimization and Dynamic Asset Pricing

ESG ratings provide a quantitative measure for socially responsible investment. We present a unified framework for incorporating numeric ESG ratings into dynamic pricing theory. Specifically, we introduce an ESG-valued return that is a linearly constrained transformation of financial return and ESG score. This leads to a more complex portfolio optimization problem in a space governed by reward, risk and ESG score. The framework preserves the traditional risk aversion parameter and introduces an ESG affinity parameter. We apply this framework to develop ESG-valued: portfolio optimization; capital market line; risk measures; option pricing; and the computation of shadow riskless rates.

preprint2022arXivOpen access
Davide LauriaW. Brent LindquistStefan MittnikSvetlozar T. Rachev
q-fin.PRq-fin.PM
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Davide LauriaW. Brent LindquistStefan MittnikSvetlozar T. Rachev

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