Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Optimised ESG portfolios. Does sustainability sacrifice profit?

Hellstedt, Eric LU (2022) NEKH04 20212
Department of Economics
Abstract
The purpose of this thesis is to investigate the relationship between ESG and portfolio investment. More specifically, we investigate if sustainable portfolios that focus on good ESG performance requires sacrificing profit or if it is possible to maintain a sustainable portfolio with a high financial gain. The thesis focuses on the Swedish financial market and uses 56 different assets to investigate the relationship between profit and ESG. The relationship between sustainability and profit is analysed by creating different portfolios based on ESG scores and by measuring and comparing the performances of these portfolios. Half of the portfolios are created using Markowitz method and Sharpes ratio to create diversified efficient portfolios... (More)
The purpose of this thesis is to investigate the relationship between ESG and portfolio investment. More specifically, we investigate if sustainable portfolios that focus on good ESG performance requires sacrificing profit or if it is possible to maintain a sustainable portfolio with a high financial gain. The thesis focuses on the Swedish financial market and uses 56 different assets to investigate the relationship between profit and ESG. The relationship between sustainability and profit is analysed by creating different portfolios based on ESG scores and by measuring and comparing the performances of these portfolios. Half of the portfolios are created using Markowitz method and Sharpes ratio to create diversified efficient portfolios with optimised mean return per unit of risk, while the other half are equally weighted portfolios. The thesis also includes the results of two surveys sent to firms in the financial sector to evaluate ESGs prevalence in Sweden. The thesis finds that there is a positive correlation between the social aspect of ESG and investment profit, while it shows a negative correlation between the environmental aspect of ESG and profit. (Less)
Please use this url to cite or link to this publication:
author
Hellstedt, Eric LU
supervisor
organization
course
NEKH04 20212
year
type
M2 - Bachelor Degree
subject
keywords
ESG, Sustainable investment, portfolio selection, portfolio optimisation, Sharpe ratio
language
English
id
9074201
date added to LUP
2022-02-03 08:18:36
date last changed
2022-02-03 08:18:36
@misc{9074201,
  abstract     = {{The purpose of this thesis is to investigate the relationship between ESG and portfolio investment. More specifically, we investigate if sustainable portfolios that focus on good ESG performance requires sacrificing profit or if it is possible to maintain a sustainable portfolio with a high financial gain. The thesis focuses on the Swedish financial market and uses 56 different assets to investigate the relationship between profit and ESG. The relationship between sustainability and profit is analysed by creating different portfolios based on ESG scores and by measuring and comparing the performances of these portfolios. Half of the portfolios are created using Markowitz method and Sharpes ratio to create diversified efficient portfolios with optimised mean return per unit of risk, while the other half are equally weighted portfolios. The thesis also includes the results of two surveys sent to firms in the financial sector to evaluate ESGs prevalence in Sweden. The thesis finds that there is a positive correlation between the social aspect of ESG and investment profit, while it shows a negative correlation between the environmental aspect of ESG and profit.}},
  author       = {{Hellstedt, Eric}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Optimised ESG portfolios. Does sustainability sacrifice profit?}},
  year         = {{2022}},
}