557. Portfolio optimization integrating financial and ESG risks
Invited abstract in session TC-9: ESG investing and sustainable finance, stream OR in Finance and Insurance .
Tuesday, 12:30-14:00Room: Clarendon SR 2.01
Authors (first author is the speaker)
| 1. | Valentina Piantoni
|
| Economics and Finance, Università degli studi di Bergamo | |
| 2. | Sergio Ortobelli Lozza
|
| University of Bergamo | |
| 3. | Denise Mirabella
|
| Economics and Finance, Università degli studi di Bergamo |
Abstract
This article examines portfolio optimization strategies that address both financial and ESG risks. First, portfolios are optimized to minimize financial risk using different coherent risk measures that capture extreme market losses. After identifying portfolios with reduced financial risk, a second optimization is applied to further lower ESG risks, ensuring alignment with sustainability goals. By integrating both financial and ESG considerations, the approach produces portfolios that offer strong financial performance while meeting responsible investing criteria. Results show that ESG-coherent portfolios not only meet sustainability objectives but also exhibit competitive, resilient financial outcomes. This dual optimization process provides investors with portfolios that balance risk management with ethical investment principles.
Keywords
- Optimization in Financial Mathematics
- Sustainable Development
- Risk Analysis and Management
Status: accepted
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