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 Investitionsentscheidung Nachhaltigkeit Erwarteter Nutzen Moderne Portfoliotheorie Investitionsrisiko |
URI: | http://hdl.handle.net/2003/41155 http://dx.doi.org/10.17877/DE290R-23002 |
Issue Date: | 2022-11-30 |
Rights link: | http://creativecommons.org/licenses/by/4.0/ |
Appears in Collections: | Professur Finance |
Files in This Item:
File | Description | Size | Format | |
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sustainability-14-15963.pdf | 337.18 kB | Adobe PDF | View/Open |
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