ESG integration in portfolio optimization: A Brazilian market study
Published:
Mar 24, 2025
Volume:
23
Keywords:
Risk measures
ESG investing
Portfolio theory
Factor models
Asset pricing
Abstract
This paper investigates the performance of investment portfolios in the Brazilian financial market from 2016 to 2024, constructed using a factor-based approach. The study examines the impact of incorporating ESG (Environmental, Social, and Governance) factors into investment strategies. By evaluating the excess returns of portfolios adjusted for risk, and using the Sharpe index for comparisons, the research concludes that the inclusion of ESG factors generally improves the risk-adjusted performance of simple factor-based portfolios.
How to cite
Lucas Voltolini. ESG integration in portfolio optimization: A Brazilian market study. Brazilian Review of Finance, v. 23, n. 1, 2025. p. e202504. DOI: 10.12660/rbfin.v23n1.2025.92821.
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