Titulo:
Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable
.
Sumario:
En este trabajo se presenta un enfoque de selección de portafolios óptimos socialmente responsables, a través de la incorporación de los criterios ASG –ambiente (A), social (S) y de buen gobierno (G)– al modelo media-varianza (MV) de Markowitz. Para ello, se revisan algunas formulaciones del problema de optimización MV, así como su ajuste, para incorporar estos indicadores en la construcción y optimización del portafolio. Este nuevo enfoque, conocido como modelo MV-ASG, permite la construcción de un conjunto completo de portafolios óptimos factibles a partir de las tres relaciones: retorno, riesgo e indicador ASG, que dan como resultado una superficie eficiente (SE) en un plano tridimensional. Los resultados muestran que la consecución d... Ver más
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Carlos Andrés Zapata Q. - 2022
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Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable Mean-Variance Model and ESG criteria: From Markowitz to the socially responsible portfolio En este trabajo se presenta un enfoque de selección de portafolios óptimos socialmente responsables, a través de la incorporación de los criterios ASG –ambiente (A), social (S) y de buen gobierno (G)– al modelo media-varianza (MV) de Markowitz. Para ello, se revisan algunas formulaciones del problema de optimización MV, así como su ajuste, para incorporar estos indicadores en la construcción y optimización del portafolio. Este nuevo enfoque, conocido como modelo MV-ASG, permite la construcción de un conjunto completo de portafolios óptimos factibles a partir de las tres relaciones: retorno, riesgo e indicador ASG, que dan como resultado una superficie eficiente (SE) en un plano tridimensional. Los resultados muestran que la consecución de un indicador ASG cada vez mayor, no solo reduce el desempeño del portafolio respecto al portafolio MV, sino que disminuye su capacidad de diversificación del riesgo. Sin embargo, se resalta el hecho de que la incorporación de los criterios ASG les permite a los inversionistas incorporar sus preferencias para minimizar el impacto social y ambiental de sus inversiones, ya que el portafolio óptimo MV-ASG genera mejores indicadores que cualquier portafolio que persiga solo la relación óptima retorno-riesgo, además de superar el desempeño del benchmark. This paper presents an approach for socially responsible investment portfolio selection through the incorporation of ESG criteria: environment (A), social (S) and of good governance (G); to the Markowitz’s mean-variance (MV) model. For that, different formulations of the MV optimization problem are revised, as well as its adjustment to incorporate these indicators in the construction and optimization of the portfolio. This new approach, known as the MV-ESG model, allows the construction of a complete set of feasible optimal portfolios based on the three relationships: return, risk and the ESG score; resulting in an efficient surface (ES) on a three-dimensional space. Results show that the achievement of an increasingly higher ESG indicator not only reduces the performance of the portfolio with respect to the MV portfolio, but also reduces its risk diversification capacity. However, the fact that the incorporation of ESG criteria allows investors to incorporate their preferences to minimize the social and environmental impact of their investments is highlighted, since the optimal ESG portfolio generates better indicators than any portfolio that pursue only the optimal risk-return ratio, in addition to outperforming the benchmark. Zapata Q., Carlos Andrés optimal portfolio; ESG criteria; socially responsible investment portafolio óptimo; criterios ASG; inversión socialmente responsable 21 Núm. 21 , Año 2021 : Julio-Diciembre Artículo de revista Journal article 2022-12-14T10:23:26Z 2022-12-14T10:23:26Z 2022-12-14 application/pdf text/html Universidad Externado de Colombia ODEON 1794-1113 2346-2140 https://revistas.uexternado.edu.co/index.php/odeon/article/view/8489 10.18601/17941113.n21.04 https://doi.org/10.18601/17941113.n21.04 spa http://creativecommons.org/licenses/by-nc-sa/4.0 Carlos Andrés Zapata Q. - 2022 Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0. 55 79 Acuerdo de París (2015). United Nations framework convention on climate change. https://unfccc.int/sites/default/files/english_paris_agreement.pdf Alessandrini, F. y Jondeau, E. (2021). Optimal strategies for ESG portfolios. The Journal of Portfolio Management, 47(6), 114-138. https://doi.org/10.3905/jpm.2021.1.241 Ballestero, E., Bravo, M., Pérez-Gladish, B., Arenas-Parra, M. y Pla-Santamaría, D. (2012). Socially responsible investment: A multicriteria approach to portfolio selection combining ethical and financial objectives. European Journal of Ope¬rational Research, 216(2), 487-494. https://doi.org/10.1016/j.ejor.2011.07.011 Bender, J., He, C., Ooi, C., y Sun, X. (2020). Reducing the Carbon Intensity of Low Volatility Portfolios. Journal of Portfolio Management, 46(3), 108-22. https://doi. org/10.3905/jpm.2020.46.3.108 Branch, M., Goldberg, L. y Hand, P. (2019). A guide to ESG portfolio construction. The Journal of Portfolio Management, 45(4), 61-66. https://doi.org/10.3905/ jpm.2019.45.4.061 Caballero, A., Garcia, A., Salcedo, J. y Vercher, M. (2020). Tri-criterion model for cons-tructing low-carbon mutual fund portfolios: A preference-based multi-objective genetic algorithm approach. International Journal of Environmental Research and Public Health, 17(17), 6324. https://doi.org/10.3390/ijerph17176324 Calvo, C., Ivorra, C. y Liern, V. (2015). Finding socially responsible portfolios close to conventional ones. International Review of Financial Analysis, 40, 52-63. https:// doi.org/10.1016/j.irfa.2015.03.014 Cesarone, F., Martino, M. y Carleo, A. (2022). Does ESG impact really enhance port¬folio profitability? Sustainability, 14(4), 2050. https://doi.org/10.3390/su14042050 Chen, L., Zhang, L., Huang, J., Xiao, H. y Zhou, Z. (2021). Social responsibility port¬folio optimization incorporating ESG criteria. Journal of Management Science and Engineering, 6(1), 75-85. https://doi.org/10.1016/j.jmse.2021.02.005 Coqueret, G. (2022). Perspectives in sustainable equity investing. CRC Press. De Spiegeleer, J., Höcht, S., Jakubowski, D., Reyners, S. y Schoutens, W. (2021). esg: A new dimension in portfolio allocation. Journal of Sustainable Finance & In¬vestment, 1-41. https://doi.org/10.1080/20430795.2021.1923336 Fabozzi, F., Kolm, P., Pachamanova, D. y Focardi, S. (2007). Robust Portfolio Opti¬mization and Management. John Wiley & Sons. Francis, C. J. y Kim, D. (2013). Modern Portfolio Theory: Foundation, Analysis, and New Developments. Wiley Finance. Gasser, S. M., Rammerstorfer, M. y Weinmayer, K. (2017). Markowitz revisited: Social portfolio engineering. European Journal of Operational Research, 258(3), 1181- 1190. https://doi.org/10.1016/j.ejor.2016.10.043 Gil-Bazo, J., Ruiz-Verdú, P. y Santos, A. A. (2010). The performance of socially res-ponsible mutual funds: The role of fees and management companies. Journal of Business Ethics, 94(2), 243-263. https://doi.org/10.1007/s10551-009-0260-4 Hartzmark, S. M. y Sussman, A. B. (2019). Do investors value sustainability? A natural experiment examining ranking and fund flows. The Journal of Finance, 74(6), 2789-2837. https://doi.org/10.1111/jofi.12841 Henke, H. M. (2016). The effect of social screening on bond mutual fund perfor¬mance. Journal of Banking & Finance, 67(1), 69-84. https://doi.org/10.1016/j. jbankfin.2016.01.010 Henriksson, R., Livnat, J., Pfeifer, P. y Stumpp, M. (2019). Integrating esg in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81. https://doi. org/10.3905/jpm.2019.45.4.067 Hirschberger, M., Steuer, R. E., Utz, S., Wimmer, M. y Qi, Y. (2013). Computing the nondominated surface in tri-criterion portfolio selection. Operations Research, 61(1), 169-183. https://doi.org/10.1287/opre.1120.1140 Kolm, P., Tütüncü, R. y Fabozzi, F. (2014). 60 Years of portfolio optimization: Prac¬tical challenges and current trends. European Journal of Operational Research, 234(2), 356-371. https://doi.org/10.1016/j.ejor.2013.10.060 Lagerkvist, C. J., Edenbrandt, A. K., Tibbelin, I. y Wahlstedt, Y. (2020). Preferences for sustainable and responsible equity funds-A choice experiment with Swedish private investors. Journal of Behavioral and Experimental Finance, 28(1), 100406. https://doi.org/10.1016/j.jbef.2020.100406 Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77–91. Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. Wiley. Naffa, H. y Fain, M. (2022). A factor approach to the performance of esg leaders and laggards. Finance Research Letters, 44(1), 102073. https://doi.org/10.1016/j. frl.2021.102073 Nofsinger, J. y Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48(1), 180-193. https://doi.org/10.1016/j.jbankfin.2013.12.016 Ortas, E., Moneva, J. M., Burritt, R. y Tingey-Holyoak, J. (2014). Does sustainability investment provide adaptive resilience to ethical investors? Evidence from Spain. Journal of Business Ethics, 124(2), 297-309. https://doi.org/10.1007/s10551-013- 1873-1 Pedersen, L. H., Fitzgibbons, S. y Pomorski, L. (2021). Responsible investing: The esg-efficient frontier. Journal of Financial Economics, 142(2), 572-597. https:// doi.org/10.1016/j.jfineco.2020.11.001 Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964. tb02865.x Utz, S., Wimmer, M., Hirschberger, M., y Steuer, R. (2014). Tri-criterion inverse port¬folio optimization with application to socially responsible mutual funds. Euro¬pean Journal of Operational Research, 234(2), 491-498. https://doi.org/10.1016/j. ejor.2013.07.024 https://revistas.uexternado.edu.co/index.php/odeon/article/download/8489/13485 https://revistas.uexternado.edu.co/index.php/odeon/article/download/8489/13486 info:eu-repo/semantics/article http://purl.org/coar/resource_type/c_6501 http://purl.org/redcol/resource_type/ARTREF info:eu-repo/semantics/publishedVersion http://purl.org/coar/version/c_970fb48d4fbd8a85 info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 Text Publication |
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UNIVERSIDAD EXTERNADO DE COLOMBIA |
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Colombia |
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Revista ODEON |
| title |
Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable |
| spellingShingle |
Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable Zapata Q., Carlos Andrés optimal portfolio; ESG criteria; socially responsible investment portafolio óptimo; criterios ASG; inversión socialmente responsable |
| title_short |
Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable |
| title_full |
Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable |
| title_fullStr |
Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable |
| title_full_unstemmed |
Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable |
| title_sort |
modelo media-varianza y criterios asg: de markowitz al portafolio socialmente responsable |
| title_eng |
Mean-Variance Model and ESG criteria: From Markowitz to the socially responsible portfolio |
| description |
En este trabajo se presenta un enfoque de selección de portafolios óptimos socialmente responsables, a través de la incorporación de los criterios ASG –ambiente (A), social (S) y de buen gobierno (G)– al modelo media-varianza (MV) de Markowitz. Para ello, se revisan algunas formulaciones del problema de optimización MV, así como su ajuste, para incorporar estos indicadores en la construcción y optimización del portafolio. Este nuevo enfoque, conocido como modelo MV-ASG, permite la construcción de un conjunto completo de portafolios óptimos factibles a partir de las tres relaciones: retorno, riesgo e indicador ASG, que dan como resultado una superficie eficiente (SE) en un plano tridimensional. Los resultados muestran que la consecución de un indicador ASG cada vez mayor, no solo reduce el desempeño del portafolio respecto al portafolio MV, sino que disminuye su capacidad de diversificación del riesgo. Sin embargo, se resalta el hecho de que la incorporación de los criterios ASG les permite a los inversionistas incorporar sus preferencias para minimizar el impacto social y ambiental de sus inversiones, ya que el portafolio óptimo MV-ASG genera mejores indicadores que cualquier portafolio que persiga solo la relación óptima retorno-riesgo, además de superar el desempeño del benchmark.
|
| description_eng |
This paper presents an approach for socially responsible investment portfolio selection through the incorporation of ESG criteria: environment (A), social (S) and of good governance (G); to the Markowitz’s mean-variance (MV) model. For that, different formulations of the MV optimization problem are revised, as well as its adjustment to incorporate these indicators in the construction and optimization of the portfolio. This new approach, known as the MV-ESG model, allows the construction of a complete set of feasible optimal portfolios based on the three relationships: return, risk and the ESG score; resulting in an efficient surface (ES) on a three-dimensional space. Results show that the achievement of an increasingly higher ESG indicator not only reduces the performance of the portfolio with respect to the MV portfolio, but also reduces its risk diversification capacity. However, the fact that the incorporation of ESG criteria allows investors to incorporate their preferences to minimize the social and environmental impact of their investments is highlighted, since the optimal ESG portfolio generates better indicators than any portfolio that pursue only the optimal risk-return ratio, in addition to outperforming the benchmark.
|
| author |
Zapata Q., Carlos Andrés |
| author_facet |
Zapata Q., Carlos Andrés |
| topic |
optimal portfolio; ESG criteria; socially responsible investment portafolio óptimo; criterios ASG; inversión socialmente responsable |
| topic_facet |
optimal portfolio; ESG criteria; socially responsible investment portafolio óptimo; criterios ASG; inversión socialmente responsable |
| topicspa_str_mv |
portafolio óptimo; criterios ASG; inversión socialmente responsable |
| citationissue |
21 |
| citationedition |
Núm. 21 , Año 2021 : Julio-Diciembre |
| publisher |
Universidad Externado de Colombia |
| ispartofjournal |
ODEON |
| source |
https://revistas.uexternado.edu.co/index.php/odeon/article/view/8489 |
| language |
spa |
| format |
Article |
| rights |
http://creativecommons.org/licenses/by-nc-sa/4.0 Carlos Andrés Zapata Q. - 2022 Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0. info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 |
| references |
Acuerdo de París (2015). United Nations framework convention on climate change. https://unfccc.int/sites/default/files/english_paris_agreement.pdf Alessandrini, F. y Jondeau, E. (2021). Optimal strategies for ESG portfolios. The Journal of Portfolio Management, 47(6), 114-138. https://doi.org/10.3905/jpm.2021.1.241 Ballestero, E., Bravo, M., Pérez-Gladish, B., Arenas-Parra, M. y Pla-Santamaría, D. (2012). Socially responsible investment: A multicriteria approach to portfolio selection combining ethical and financial objectives. European Journal of Ope¬rational Research, 216(2), 487-494. https://doi.org/10.1016/j.ejor.2011.07.011 Bender, J., He, C., Ooi, C., y Sun, X. (2020). Reducing the Carbon Intensity of Low Volatility Portfolios. Journal of Portfolio Management, 46(3), 108-22. https://doi. org/10.3905/jpm.2020.46.3.108 Branch, M., Goldberg, L. y Hand, P. (2019). A guide to ESG portfolio construction. The Journal of Portfolio Management, 45(4), 61-66. https://doi.org/10.3905/ jpm.2019.45.4.061 Caballero, A., Garcia, A., Salcedo, J. y Vercher, M. (2020). Tri-criterion model for cons-tructing low-carbon mutual fund portfolios: A preference-based multi-objective genetic algorithm approach. International Journal of Environmental Research and Public Health, 17(17), 6324. https://doi.org/10.3390/ijerph17176324 Calvo, C., Ivorra, C. y Liern, V. (2015). Finding socially responsible portfolios close to conventional ones. International Review of Financial Analysis, 40, 52-63. https:// doi.org/10.1016/j.irfa.2015.03.014 Cesarone, F., Martino, M. y Carleo, A. (2022). Does ESG impact really enhance port¬folio profitability? Sustainability, 14(4), 2050. https://doi.org/10.3390/su14042050 Chen, L., Zhang, L., Huang, J., Xiao, H. y Zhou, Z. (2021). Social responsibility port¬folio optimization incorporating ESG criteria. Journal of Management Science and Engineering, 6(1), 75-85. https://doi.org/10.1016/j.jmse.2021.02.005 Coqueret, G. (2022). Perspectives in sustainable equity investing. CRC Press. De Spiegeleer, J., Höcht, S., Jakubowski, D., Reyners, S. y Schoutens, W. (2021). esg: A new dimension in portfolio allocation. Journal of Sustainable Finance & In¬vestment, 1-41. https://doi.org/10.1080/20430795.2021.1923336 Fabozzi, F., Kolm, P., Pachamanova, D. y Focardi, S. (2007). Robust Portfolio Opti¬mization and Management. John Wiley & Sons. Francis, C. J. y Kim, D. (2013). Modern Portfolio Theory: Foundation, Analysis, and New Developments. Wiley Finance. Gasser, S. M., Rammerstorfer, M. y Weinmayer, K. (2017). Markowitz revisited: Social portfolio engineering. European Journal of Operational Research, 258(3), 1181- 1190. https://doi.org/10.1016/j.ejor.2016.10.043 Gil-Bazo, J., Ruiz-Verdú, P. y Santos, A. A. (2010). The performance of socially res-ponsible mutual funds: The role of fees and management companies. Journal of Business Ethics, 94(2), 243-263. https://doi.org/10.1007/s10551-009-0260-4 Hartzmark, S. M. y Sussman, A. B. (2019). Do investors value sustainability? A natural experiment examining ranking and fund flows. The Journal of Finance, 74(6), 2789-2837. https://doi.org/10.1111/jofi.12841 Henke, H. M. (2016). The effect of social screening on bond mutual fund perfor¬mance. Journal of Banking & Finance, 67(1), 69-84. https://doi.org/10.1016/j. jbankfin.2016.01.010 Henriksson, R., Livnat, J., Pfeifer, P. y Stumpp, M. (2019). Integrating esg in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81. https://doi. org/10.3905/jpm.2019.45.4.067 Hirschberger, M., Steuer, R. E., Utz, S., Wimmer, M. y Qi, Y. (2013). Computing the nondominated surface in tri-criterion portfolio selection. Operations Research, 61(1), 169-183. https://doi.org/10.1287/opre.1120.1140 Kolm, P., Tütüncü, R. y Fabozzi, F. (2014). 60 Years of portfolio optimization: Prac¬tical challenges and current trends. European Journal of Operational Research, 234(2), 356-371. https://doi.org/10.1016/j.ejor.2013.10.060 Lagerkvist, C. J., Edenbrandt, A. K., Tibbelin, I. y Wahlstedt, Y. (2020). Preferences for sustainable and responsible equity funds-A choice experiment with Swedish private investors. Journal of Behavioral and Experimental Finance, 28(1), 100406. https://doi.org/10.1016/j.jbef.2020.100406 Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77–91. Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. Wiley. Naffa, H. y Fain, M. (2022). A factor approach to the performance of esg leaders and laggards. Finance Research Letters, 44(1), 102073. https://doi.org/10.1016/j. frl.2021.102073 Nofsinger, J. y Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48(1), 180-193. https://doi.org/10.1016/j.jbankfin.2013.12.016 Ortas, E., Moneva, J. M., Burritt, R. y Tingey-Holyoak, J. (2014). Does sustainability investment provide adaptive resilience to ethical investors? Evidence from Spain. Journal of Business Ethics, 124(2), 297-309. https://doi.org/10.1007/s10551-013- 1873-1 Pedersen, L. H., Fitzgibbons, S. y Pomorski, L. (2021). Responsible investing: The esg-efficient frontier. Journal of Financial Economics, 142(2), 572-597. https:// doi.org/10.1016/j.jfineco.2020.11.001 Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964. tb02865.x Utz, S., Wimmer, M., Hirschberger, M., y Steuer, R. (2014). Tri-criterion inverse port¬folio optimization with application to socially responsible mutual funds. Euro¬pean Journal of Operational Research, 234(2), 491-498. https://doi.org/10.1016/j. ejor.2013.07.024 |
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