ESG integration strategy for stocks portfolios based on a resampling methodology with a multivariate normal distribution

Speaker: Prof. Antonio Francisco de Almeida da Silva Jr., Department of Business Administration, Universidade Federal de Bahia, Salvador Brazil

abstract: The aim of the work is to present a framework for ESG integration and to analyze the consequences of considering environmental, social and governance (ESG) factors in the optimization of investment portfolios. We use a multivariate normal distribution of returns and we generate portfolios by an optimization process combined with a Monte Carlo simulation. After applying an ESG filtering strategy to portfolios, we show that the ex-ante costs (optimization process) of the ESG integration strategy may be very low compared to other approaches. The methodology presented in this paper avoid the complexity of modifying the utility function to include a new objective.