Publication
Asset allocation with environmental, social, and governance concerns: exploring environmental, social, and governance investment strategies in portfolio management
| Summary: | This research explores different ESG investment strategies in portfolio manage ment, analyzing their performance and risk variances for optimal risk-return out comes. Using MSCI ESG indexes, the study reveals a slight decrease in financial returns with higher screening intensity. Well-diversified ESG indexes showed no reduced returns compared to a non-restricted index. Surprisingly, monthly vari ance across indexes remained equal regardless of the screening intensity. Jensen's alpha estimation found no significant differences in risk-adjusted returns among the observed ESG indexes. These findings build on previous literature and shed light on the complexities of ESG strategies within investment landscapes. |
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| Main Authors: | Meyer, Christian |
| Subject: | Esg (environmental Social Governance) Investment strategies Investment performance Esg screenings |
| Year: | 2024 |
| Country: | Portugal |
| Document type: | master thesis |
| Access type: | open access |
| Associated institution: | Universidade Nova de Lisboa |
| Language: | English |
| Origin: | Repositório Institucional da UNL |
| Summary: | This research explores different ESG investment strategies in portfolio manage ment, analyzing their performance and risk variances for optimal risk-return out comes. Using MSCI ESG indexes, the study reveals a slight decrease in financial returns with higher screening intensity. Well-diversified ESG indexes showed no reduced returns compared to a non-restricted index. Surprisingly, monthly vari ance across indexes remained equal regardless of the screening intensity. Jensen's alpha estimation found no significant differences in risk-adjusted returns among the observed ESG indexes. These findings build on previous literature and shed light on the complexities of ESG strategies within investment landscapes. |
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