Social responsibility portfolio optimization incorporating ESG criteria

• Published in: Journal of management science and engineering (Online) Vol. 6; no. 1; pp. 75 - 85
• Main Authors: Chen, Li, Zhang, Lipei, Huang, Jun, Xiao, Helu, Zhou, Zhongbao
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.03.2021; KeAi Communications Co., Ltd
• Subjects: Cross efficiency; ESG score; Portfolio optimization; Social responsibility investment; Portfolio optimization; Social responsibility investment; Cross efficiency; ESG score

Social responsibility investment (SRI) has attracted worldwide attention for its potential in promoting investment sustainability and stability. We developed a three-step framework by incorporating environmental, social, and governance (ESG) performance into portfolio optimization. In comparison to...