Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable

Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable

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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2346-2140

Zapata Q., Carlos Andrés

UNIVERSIDAD EXTERNADO DE COLOMBIA

10.18601/17941113.n21.04

2022-12-14

55

79

Colombia

portafolio óptimo;

criterios ASG;

inversión socialmente responsable

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Carlos Andrés Zapata Q. - 2022

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spelling Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable
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
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
Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77–91.
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
http://purl.org/coar/resource_type/c_6501
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info:eu-repo/semantics/article
Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. Wiley.
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
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
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
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
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
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
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
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
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
ODEON
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.
Zapata Q., Carlos Andrés
portafolio óptimo;
criterios ASG;
inversión socialmente responsable
21
Núm. 21 , Año 2021 : Julio-Diciembre
Artículo de revista
application/pdf
text/html
Universidad Externado de Colombia
Publication
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.
https://revistas.uexternado.edu.co/index.php/odeon/article/view/8489
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
Acuerdo de París (2015). United Nations framework convention on climate change. https://unfccc.int/sites/default/files/english_paris_agreement.pdf
Español
http://creativecommons.org/licenses/by-nc-sa/4.0
Carlos Andrés Zapata Q. - 2022
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.
Mean-Variance Model and ESG criteria: From Markowitz to the socially responsible portfolio
optimal portfolio;
Journal article
ESG criteria;
socially responsible investment
79
1794-1113
55
https://revistas.uexternado.edu.co/index.php/odeon/article/download/8489/13486
https://revistas.uexternado.edu.co/index.php/odeon/article/download/8489/13485
2346-2140
2022-12-14T10:23:26Z
2022-12-14T10:23:26Z
https://doi.org/10.18601/17941113.n21.04
10.18601/17941113.n21.04
2022-12-14
institution UNIVERSIDAD EXTERNADO DE COLOMBIA
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country_str Colombia
collection 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
portafolio óptimo;
criterios ASG;
inversión socialmente responsable
optimal portfolio;
ESG criteria;
socially responsible investment
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
topicspa_str_mv portafolio óptimo;
criterios ASG;
inversión socialmente responsable
topic portafolio óptimo;
criterios ASG;
inversión socialmente responsable
optimal portfolio;
ESG criteria;
socially responsible investment
topic_facet portafolio óptimo;
criterios ASG;
inversión socialmente responsable
optimal portfolio;
ESG criteria;
socially responsible investment
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 Español
format Article
rights http://purl.org/coar/access_right/c_abf2
info:eu-repo/semantics/openAccess
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.
http://creativecommons.org/licenses/by-nc-sa/4.0
Carlos Andrés Zapata Q. - 2022
references 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
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
Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77–91.
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
Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. Wiley.
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
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
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
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
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
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
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
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
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
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
Acuerdo de París (2015). United Nations framework convention on climate change. https://unfccc.int/sites/default/files/english_paris_agreement.pdf
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