Aslan, AydinPosch, Peter N.2022-12-122022-12-122022-11-30http://hdl.handle.net/2003/4115510.17877/DE290R-23002We 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.enSustainability;2022, 14(23), 15963http://creativecommons.org/licenses/by/4.0/ESGSocially responsible investingExpected utility theoryPortfolio theory330article (journal)Corporate Social ResponsibilityInvestitionsentscheidungNachhaltigkeitErwarteter NutzenModerne PortfoliotheorieInvestitionsrisiko