D. Pla Santamaria, F. Luciani, F. Cesarone, F. Tardella, A. García Bernabeu, A. Hilario
In the context of growing interest in sustainable finance, asset managers seek new strategies to integrate extra-financial criteria into investment decisions. Diversification is a key element in portfolio construction, particularly in sustainable investing, where balancing risk and sustainability requires a detailed analysis of return, risk, and ESG interactions. In this proposal, we introduce a bi-objective portfolio optimization model designed to simultaneously maximize a diversification ratio and a sustainability metric represented by the ESG score. To assess its effectiveness, we compare diversification-based strategies with traditional approaches, such as mean-variance optimization and equally weighted portfolios, using real market data from the IBEX 35 and FTSE MIB indices. In addition, we conduct an out-of-sample performance analysis to assess the robustness of these strategies, providing insights into the trade-offs between sustainability, risk, and diversification.
Keywords: Sustainable Finance, Portfolio selection, Diversification, multi-objective optimization, ESG criteria.
Scheduled
Multicriteria Decision Analysis II
June 10, 2025 7:00 PM
Auditorio 1. Ricard Vinyes