Authors: Aslan, Aydin
Posch, Peter N.
Title: How do investors value sustainability?
Other Titles: A utility-based preference optimization
Language (ISO): en
Abstract: We investigate how an investor’s preference for sustainable assets in the portfolio varies for differing levels of risk aversion. Using a sample of 411 publicly listed firms in the S&P 500, we calculate financial and sustainability returns, on which the investor’s utility depends. We approximate the investor’s preference by the exponential and s-shaped utility function and optimize with regard to the sustainability preference. We find that with increasing levels of risk aversion, both minimum-variance and maximum Sharpe ratio type investors seek to incorporate sustainable assets in the portfolio.
Subject Headings: ESG
Socially responsible investing
Expected utility theory
Portfolio theory
Subject Headings (RSWK): Corporate Social Responsibility
Erwarteter Nutzen
Moderne Portfoliotheorie
Issue Date: 2022-11-30
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Appears in Collections:Professur Finance

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