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Optimal ESG Portfolios: An Example for the Dow Jones Index
16 references·2 citing·40 second hop
Optimal ESG Portfolios: An Example for the Dow Jones Index (2020)Optimal ESG Portfolios: An Example for th…A Theory of Socially Responsible Investment (2024)A Theory of Socially Responsi…Responsible Investing: The ESG-Efficient Frontier (2019)Responsible Investing: The ES…Aggregate Confusion: The Divergence of ESG Ratings (2019)Aggregate Confusion: The Dive…Companies Should Maximize Shareholder Welfare Not Market Value (2017)Companies Should Maximize Sha…Companies Should Maximize Shareholder Welfare Not Market Value (2017)Companies Should Maximize Sha…ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)ESG and financial performance…Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies (2010)Markowitz meets Talmud: A com…The price of sin: The effects of social norms on markets (2009)The price of sin: The effects…Individual and Corporate Social Responsibility (2009)Individual and Corporate Soci…A Positive Theory of Moral Management, Social Pressure, and Corporate Social Performance (2009)A Positive Theory of Moral Ma…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…When Will Mean-Variance Efficient Portfolios be Well Diversified? (1992)When Will Mean-Variance Effic…Annals of operations research (1989)Annals of operations researchModern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …Portfolio Selection (1952)Portfolio SelectionThe integration of environmental, social and governance criteria in portfolio optimization: An empirical analysis (2023)The integration of environmen…Regularization methods for sparse ESG-valued multi-period portfolio optimization with return prediction using machine learning (2023)Regularization methods for sp…DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)A power primer. (1992)G*Power 3: A flexible statistical power analysis program for the social, behavioral, and biomedical sciences (2007)Environmental, Social and Governance (ESG) Scores and Financial Performance of Multilatinas: Moderating Effects of Geographic International Diversification and Financial Slack (2019)The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review (2019)Firms and social responsibility: A review of ESG and CSR research in corporate finance (2021)Corporate Social and Financial Performance: A Meta-Analysis (2003)The Social Responsibility of Business Is to Increase Its Profits (2007)Corporate Social Responsibility as a Conflict Between Shareholders (2010)Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence (2018)The Importance of Climate Risks for Institutional Investors (2019)Risk, Return, and Equilibrium: Empirical Tests (1973)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The Cross-Section of Expected Stock Returns (1992)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Do Investors Care about Carbon Risk? (2019)Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Corporate Governance and Equity Prices (2003)Sustainable investing with ESG rating uncertainty (2021)Dissecting green returns (2022)The role of multiplier bounds in efficiency analysis with application to Kansas farming (1990)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Blockchain technology for enhancing swift-trust, collaboration and resilience within a humanitarian supply chain setting (2020)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Sustainable investing in equilibrium (2020)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 2015ESG and financial performance: aggregated evidence from more than 2000 empirical studies4,715 cited
  • 1952Portfolio Selection4,609 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 2009The price of sin: The effects of social norms on markets2,600 cited
  • 2009Individual and Corporate Social Responsibility2,238 cited
  • 2019Responsible Investing: The ESG-Efficient Frontier2,100 cited
  • 1989Annals of operations research1,324 cited
  • 2017Companies Should Maximize Shareholder Welfare Not Market Value665 cited
  • 2019Aggregate Confusion: The Divergence of ESG Ratings566 cited
  • 2010Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies467 cited
  • 2017Companies Should Maximize Shareholder Welfare Not Market Value389 cited
  • 1992When Will Mean-Variance Efficient Portfolios be Well Diversified?355 cited
  • 2024A Theory of Socially Responsible Investment334 cited

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2009
A Positive Theory of Moral Management, Social Pressure, and Corporate Social Performance
316 cited

Cited by

  • 2023The integration of environmental, social and governance criteria in portfolio optimization: An empirical analysis40 cited
  • 2023Regularization methods for sparse ESG-valued multi-period portfolio optimization with return prediction using machine learning36 cited