Sustainable Investing: ESG portfolio construction
Explanations, applications and practice for esg portfolio construction.
- Lessons
Screening constraints and the feasible portfolio set
Separate portfolio eligibility constraints from return estimates and realised performance.
- Practice
ESG constraints and portfolio-performance practice
Test feasibility, weight changes and the limits of a performance inference.
- Worked examples
Reallocating weights after a sector exclusion
Calculate pro-rata weights and distinguish them from an optimized portfolio.