Multiple criteria ESG investing portfolio optimization

Abstract:

ESG investing is the consideration of environmental, social and governance (ESG) factors, alongside financial factors, in the investment decision-making process. In this sense, the portfolio selection is influenced by various criteria. This study aims to develop a multiple criteria ESG investing portfolio optimization methodology to support the decision making of ESG investors. We first propose the multiple criteria ESG investing framework, then present several multiple criteria decision analysis (MCDA) methods to facilitate the portfolio optimization, and finally conduct the empirical studies to manifest the merits of this study.