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Portfolio Optimization for Sustainable Investments
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Portfolio Optimization for Sustainable Investments (2022)Portfolio Optimization for Sustainable In…Sustainable investing in equilibrium (2020)Sustainable investing in equi…Responsible Investing: The ESG-Efficient Frontier (2019)Responsible Investing: The ES…Do Investors Care about Carbon Risk? (2019)Do Investors Care about Carbo…Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence (2018)Corporate Social Responsibili…ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)ESG and financial performance…Does Corporate Social Responsibility Lead to Superior Financial Performance? A Regression Discontinuity Approach (2015)Does Corporate Social Respons…Corporate goodness and shareholder wealth (2014)Corporate goodness and shareh…Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Does the stock market fully v…Individual and Corporate Social Responsibility (2009)Individual and Corporate Soci…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Corporate governance proposals and shareholder activism: the role of institutional investors (2000)Corporate governance proposal…Industry costs of equity (1997)Industry costs of equityEvidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)A theory of human motivation. (1943)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)… and the Cross-Section of Expected Returns (2015)Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows (2017)A power primer. (1992)On Persistence in Mutual Fund Performance (1997)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 Governance and Equity Prices (2003)Liquidity Risk and Expected Stock Returns (2003)Sustainable investing with ESG rating uncertainty (2021)Dissecting green returns (2022)Firm‐Level Climate Change Exposure (2023)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)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The Importance of Climate Risks for Institutional Investors (2019)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)Mandatory CSR and sustainability reporting: economic analysis and literature review (2021)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997Industry costs of equity5,793 cited
  • 2015ESG and financial performance: aggregated evidence from more than 2000 empirical studies4,715 cited
  • 2019Do Investors Care about Carbon Risk?3,361 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 2011Does the stock market fully value intangibles? Employee satisfaction and equity prices2,504 cited
  • 2009Individual and Corporate Social Responsibility2,238 cited
  • 2020Sustainable investing in equilibrium2,229 cited
  • 2018Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence2,219 cited
  • 2019Responsible Investing: The ESG-Efficient Frontier2,100 cited
  • 2015Does Corporate Social Responsibility Lead to Superior Financial Performance? A Regression Discontinuity Approach1,941 cited
  • 2014Corporate goodness and shareholder wealth1,897 cited
  • 2000Corporate governance proposals and shareholder activism: the role of institutional investors1,776 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

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1,665 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
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