Analysis of diversification strategies in the construction of sustainable portfolios

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.

Palabras clave: Sustainable Finance, Portfolio selection, Diversification, multi-objective optimization, ESG criteria.

Análisis de Decisión Multicriterio II
10 de junio de 2025  19:00
Auditorio 1. Ricard Vinyes

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