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Modelo Media-Varianza y criterios asg: de Markowitz al portafolio socialmente responsable.
- Source :
-
ODEON - Observatorio de Economía y Operaciones Numéricas . jul/dec2021, Issue 21, p55-79. 25p. - Publication Year :
- 2021
-
Abstract
- This paper presents an approach for socially responsible investment portfolio selection through the incorporation of esg criteria: environment (A), social (S) and of good governance (G); to the Markowitz's mean-variance (MV) model. For that, different formulations of the MV optimization problem are revised, as well as its adjustment to incorporate these indicators in the construction and optimization of the portfolio. This new approach, known as the MV-esg model, allows the construction of a complete set of feasible optimal portfolios based on the three relationships: return, risk and the esg score; resulting in an efficient surface (ES) on a three-dimensional space. Results show that the achievement of an increasingly higher esg indicator not only reduces the performance of the portfolio with respect to the MV portfolio, but also reduces its risk diversification capacity. However, the fact that the incorporation of esg criteria allows investors to incorporate their preferences to minimize the social and environmental impact of their investments is highlighted, since the optimal esg portfolio generates better indicators than any portfolio that pursue only the optimal risk-return ratio, in addition to outperforming the benchmark. [ABSTRACT FROM AUTHOR]
Details
- Language :
- Spanish
- ISSN :
- 17941113
- Issue :
- 21
- Database :
- Academic Search Index
- Journal :
- ODEON - Observatorio de Economía y Operaciones Numéricas
- Publication Type :
- Academic Journal
- Accession number :
- 160796456
- Full Text :
- https://doi.org/10.18601/17941113.n21.04