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| dc.creator | Zapata Q., Carlos Andrés | |
| dc.date | 2022-12-14 | |
| dc.date.accessioned | 2023-03-27T17:38:32Z | |
| dc.date.available | 2023-03-27T17:38:32Z | |
| dc.identifier | https://revistas.uexternado.edu.co/index.php/odeon/article/view/8489 | |
| dc.identifier | 10.18601/17941113.n21.04 | |
| dc.identifier.uri | https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/230372 | |
| dc.description | 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. | en-US |
| dc.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. | es-ES |
| dc.format | application/pdf | |
| dc.language | spa | |
| dc.publisher | Universidad Externado de Colombia | es-ES |
| dc.relation | https://revistas.uexternado.edu.co/index.php/odeon/article/view/8489/13077 | |
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| dc.rights | Derechos de autor 2022 Carlos Andrés Zapata Q. | es-ES |
| dc.rights | http://creativecommons.org/licenses/by-nc-sa/4.0 | es-ES |
| dc.source | Odeon; No. 21 (2021): Julio-Diciembre; 55-79 | en-US |
| dc.source | Revista ODEON; Núm. 21 (2021): Julio-Diciembre; 55-79 | es-ES |
| dc.source | 2346-2140 | |
| dc.source | 1794-1113 | |
| dc.subject | optimal portfolio; | en-US |
| dc.subject | ESG criteria; | en-US |
| dc.subject | socially responsible investment | en-US |
| dc.subject | portafolio óptimo; | es-ES |
| dc.subject | criterios ASG; | es-ES |
| dc.subject | inversión socialmente responsable | es-ES |
| dc.title | Mean-Variance Model and ESG criteria: From Markowitz to the socially responsible portfolio | en-US |
| dc.title | Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable | es-ES |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |
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