Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Green Portfolio: Optimization under environmental constraints

Wachtmeister, Wilhelm LU and Smith, Rutger (2020) NEKH03 20192
Department of Economics
Abstract
The aim of this thesis is to compare traditionally optimized equity portfolios to an alternative which takes the economic effects of environmental damage in to consideration. The comparison between the portfolios are made by their composition, in terms of economic sectors, and their characteristics, such as performance, size and risk. As climate considerations have increasingly become a given theme in public agenda, the interest in investing sustainably has increased. This thesis studies 199 S&P 500 constituents over a nine-year period, using conventional portfolio theory along with a method that utilizes an environmental damage function – a Green Portfolio. The latter enables investors to grasp the environmental and subsequent economic... (More)
The aim of this thesis is to compare traditionally optimized equity portfolios to an alternative which takes the economic effects of environmental damage in to consideration. The comparison between the portfolios are made by their composition, in terms of economic sectors, and their characteristics, such as performance, size and risk. As climate considerations have increasingly become a given theme in public agenda, the interest in investing sustainably has increased. This thesis studies 199 S&P 500 constituents over a nine-year period, using conventional portfolio theory along with a method that utilizes an environmental damage function – a Green Portfolio. The latter enables investors to grasp the environmental and subsequent economic impact of their capital allocation. The results of this study have displayed varied alignment to those of previous research. (Less)
Please use this url to cite or link to this publication:
author
Wachtmeister, Wilhelm LU and Smith, Rutger
supervisor
organization
course
NEKH03 20192
year
type
M2 - Bachelor Degree
subject
keywords
Portfolio Selection, Sustainable Investing, Equity Portfolios, Emissions Intensity, Mean-Variance Optimization
language
English
id
9005345
date added to LUP
2020-04-07 12:24:10
date last changed
2020-04-07 12:24:10
@misc{9005345,
  abstract     = {{The aim of this thesis is to compare traditionally optimized equity portfolios to an alternative which takes the economic effects of environmental damage in to consideration. The comparison between the portfolios are made by their composition, in terms of economic sectors, and their characteristics, such as performance, size and risk. As climate considerations have increasingly become a given theme in public agenda, the interest in investing sustainably has increased. This thesis studies 199 S&P 500 constituents over a nine-year period, using conventional portfolio theory along with a method that utilizes an environmental damage function – a Green Portfolio. The latter enables investors to grasp the environmental and subsequent economic impact of their capital allocation. The results of this study have displayed varied alignment to those of previous research.}},
  author       = {{Wachtmeister, Wilhelm and Smith, Rutger}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Green Portfolio: Optimization under environmental constraints}},
  year         = {{2020}},
}