Welcome to the InfoSci Platform
The Role of ESG Ratings in Investment Portfolio Choices

The Role of ESG Ratings in Investment Portfolio Choices

Massimiliano Kaucic, Filippo Piccotto, Paola Rossi, Gabriele Sbaiz, Giorgio Valentinuz
Copyright: © 2023 |Pages: 29
ISBN13: 9781668490761|ISBN10: 1668490765|ISBN13 Softcover: 9781668490778|EISBN13: 9781668490785
DOI: 10.4018/978-1-6684-9076-1.ch011
Cite Chapter Cite Chapter

MLA

Kaucic, Massimiliano, et al. "The Role of ESG Ratings in Investment Portfolio Choices." Enhancing Sustainability Through Non-Financial Reporting, edited by Albertina Monteiro, et al., IGI Global, 2023, pp. 233-261. https://doi.org/10.4018/978-1-6684-9076-1.ch011

APA

Kaucic, M., Piccotto, F., Rossi, P., Sbaiz, G., & Valentinuz, G. (2023). The Role of ESG Ratings in Investment Portfolio Choices. In A. Monteiro, A. Borges, & E. Vieira (Eds.), Enhancing Sustainability Through Non-Financial Reporting (pp. 233-261). IGI Global. https://doi.org/10.4018/978-1-6684-9076-1.ch011

Chicago

Kaucic, Massimiliano, et al. "The Role of ESG Ratings in Investment Portfolio Choices." In Enhancing Sustainability Through Non-Financial Reporting, edited by Albertina Monteiro, Ana Pinto Borges, and Elvira Vieira, 233-261. Hershey, PA: IGI Global, 2023. https://doi.org/10.4018/978-1-6684-9076-1.ch011

Export Reference

Mendeley
Favorite

Abstract

The chapter presents a general model for constructing portfolios in which environmental, social, and governance (ESG) rating (or score) assessments are added alongside traditional risk and return objectives. The design of portfolios involves ESG scores as an additional objective. Then multiobjective optimisation models are employed to construct the corresponding efficient frontiers. Moreover, the authors introduce a technique for selecting the optimal portfolio according to the investor's preferences toward the three objectives. Six investor profiles that would position themselves in their optimal portfolio, using variance and conditional value at risk (CVaR) as risk measures, are identified for experimental analysis. Starting with Refinitiv's ESG ratings for 538 companies that are part of the STOXX Europe 600 Index from January 2016 to December 2021, the effectiveness of the proposed methodology is finally confirmed ex-post.

Request Access

You do not own this content. Please login to recommend this title to your institution's librarian or purchase it from the IGI Global bookstore.