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The integration of environmental, social and governance criteria in portfolio optimization: An empirical analysis
16 references·2 citing·53 second hop
The integration of environmental, social and governance criteria in portfolio optimization: An empirical analysis (2023)The integration of environmental, social …ESG controversies and bank risk taking (2022)ESG controversies and bank ri…Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis (2021)Is Corporate Social Responsib…ESG Ratings and Stock Performance during the COVID-19 Crisis (2021)ESG Ratings and Stock Perform…Are ESG stocks safe-haven during COVID-19? (2021)Are ESG stocks safe-haven dur…The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China (2020)The role of ESG performance d…Business sustainability factors and stock price informativeness (2020)Business sustainability facto…Responsible Investing: The ESG-Efficient Frontier (2019)Responsible Investing: The ES…The Robustness of the Corporate Social and Financial Performance Relation: A Second‐Order Meta‐Analysis (2018)The Robustness of the Corpora…Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence (2018)Corporate Social Responsibili…Why and How Investors Use ESG Information: Evidence from a Global Survey (2017)Why and How Investors Use ESG…Markowitz revisited: Social portfolio engineering (2016)Markowitz revisited: Social p…Building Diversified Portfolios that Outperform Out of Sample (2016)Building Diversified Portfoli…Tri-criterion modeling for constructing more-sustainable mutual funds (2015)Tri-criterion modeling for co…Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection (2006)Suitable-portfolio investors,…Why Do We Invest Ethically? (2005)Why Do We Invest Ethically?Portfolio Selection (1952)Portfolio SelectionEvaluating the Resilience of ESG Investments in European Markets During Turmoil Periods (2025)Evaluating the Resilience of …Assessing Firm ESG Performance Through Corporate Survival: The Moderating Role of Firm Size (2025)Assessing Firm ESG Performanc…Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Corporate Social and Financial Performance: A Meta-Analysis (2003)Some Determinants of the Socially Responsible Investment Decision: A Cross-Country Study (2007)It’s a Matter of Principle: The Role of Personal Values in Investment Decisions (2009)Sustainability core values and sustainability risk management: Moderating effects of top management commitment and stakeholder pressure (2018)The theory and practice of corporate finance: evidence from the field (2001)The economic implications of corporate financial reporting (2005)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)The Importance of Climate Risks for Institutional Investors (2019)Sustainable investing with ESG rating uncertainty (2021)Environmental, Social, and Governance (ESG) disclosure: A literature review (2022)Firm Resources and Sustained Competitive Advantage (1991)Bias in meta-analysis detected by a simple, graphical test (1997)Measuring inconsistency in meta-analyses (2003)The relationship between corporate social responsibility and sustainable financial performance: firm‐level evidence from Taiwan (2018)Corporate social responsibility and firm value: Do firm size and age matter? Empirical evidence from European listed companies (2019)Does sustainability generate better financial performance? review, meta-analysis, and propositions (2022)Socially responsible investments: Institutional aspects, performance, and investor behavior (2008)ESG activities and banking performance: International evidence from emerging economies (2020)Connecting the COVID-19 pandemic, environmental, social and governance (ESG) investing and calls for ‘harmonisation’ of sustainability reporting (2021)Sustainable development, ESG performance and company market value: Mediating effect of financial performance (2022)Global Portfolio Optimization (1992)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Hierarchical Clustering Based Asset Allocation (2016)Ten Applications of Financial Machine Learning (2019)A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets (2021)THE CORPORATE SOCIAL PERFORMANCE-FINANCIAL PERFORMANCE LINK (1997)The determinants and implications of corporate cash holdings (1999)Corporate Social Responsibility: A Theory of the Firm Perspective (2001)Corporate goodness and shareholder wealth (2014)Sustainable investing in equilibrium (2020)Mandatory CSR and sustainability reporting: economic analysis and literature review (2021)Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Corporate Governance and Equity Prices (2003)Individual and Corporate Social Responsibility (2009)Dissecting green returns (2022)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Social Responsibility of Business Is to Increase Its Profits (2007)Examining impact of ESG score on financial performance of healthcare companies (2022)The development of research on environmental, social, and governance (ESG): A bibliometric analysis (2022)ESG performance in the time of COVID-19 pandemic: cross-country evidence (2023)A Three-Dimensional Conceptual Model of Corporate Performance (1979)Managing Legitimacy: Strategic and Institutional Approaches (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Bank reputation and operational risk: The impact of ESG (2022)ESG controversies and governance: Evidence from the banking industry (2022)Corporate culture and ESG performance: Empirical evidence from China (2024)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

  • 1952Portfolio Selection4,609 cited
  • 2018Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence2,219 cited
  • 2019Responsible Investing: The ESG-Efficient Frontier2,100 cited
  • 2017Why and How Investors Use ESG Information: Evidence from a Global Survey1,718 cited
  • 2020The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China1,686 cited
  • 2018The Robustness of the Corporate Social and Financial Performance Relation: A Second‐Order Meta‐Analysis344 cited
  • 2016Building Diversified Portfolios that Outperform Out of Sample301 cited
  • 2005Why Do We Invest Ethically?245 cited
  • 2021ESG Ratings and Stock Performance during the COVID-19 Crisis205 cited
  • 2022ESG controversies and bank risk taking190 cited
  • 2006Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection176 cited
  • 2020Business sustainability factors and stock price informativeness174 cited
  • 2016Markowitz revisited: Social portfolio engineering144 cited
  • 2021Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis138 cited

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2021
Are ESG stocks safe-haven during COVID-19?
123 cited
  • 2015Tri-criterion modeling for constructing more-sustainable mutual funds109 cited
  • Cited by

    • 2025Evaluating the Resilience of ESG Investments in European Markets During Turmoil Periods25 cited
    • 2025Assessing Firm ESG Performance Through Corporate Survival: The Moderating Role of Firm Size23 cited