Λεπτομέρειες βιβλιογραφικής εγγραφής
| Τίτλος: |
Diversifying Environmental, Social and Governance Portfolios: Evidence From China. |
| Συγγραφείς: |
Li, Danyang1 (AUTHOR), Li, Yating2 (AUTHOR), Stasinakis, Charalampos3 (AUTHOR) charalampos.stasinakis@glasgow.ac.uk, Zhao, Yang4 (AUTHOR) |
| Πηγή: |
International Journal of Finance & Economics. Oct2026, Vol. 31 Issue 4, p4433-4462. 30p. |
| Θεματικοί όροι: |
*Portfolio diversification, *Sustainable investing, *Value at risk, *Investment risk, *Stocks (Finance), Social factors, Disaster resilience |
| Γεωγραφικοί όροι: |
China |
| Περίληψη: |
This study extends traditional portfolio optimization methods by incorporating Environmental, Social and Governance (ESG) performance measures into diversification strategies, specifically focusing on data from the Chinese stock market. By integrating ESG scores and their constituent components (E, S and G), the study examines portfolio performance under various diversification techniques, including mean‐conditional Value at Risk (CVaR), mean‐lower partial moment (downside risk) and mean‐upper partial moment (upside risk) strategies, as well as hybrid approaches that employ the Herfindahl–Hirschman (HH) index and the most diversified portfolio (MDP) approach. The findings indicate that, in general, portfolios with higher ESG constraints—especially during periods of market turmoil such as the COVID‐19 pandemic and the Russia–Ukraine conflict—tend to achieve superior average performance relative to benchmark portfolios. This suggests that equities with stronger ESG performance demonstrate greater resilience during extreme market events. Among the strategies analysed, the mean‐lower partial moment approach consistently outperformed others, highlighting the importance of managing downside risk when integrating ESG metrics into portfolio construction. Additionally, portfolios prioritising the social (S) component performed worse compared to those focusing on environmental (E) or governance (G) factors during examined periods. These results highlight the critical role of ESG integration in enhancing portfolio resilience and align with global sustainability trends. [ABSTRACT FROM AUTHOR] |
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| Βάση Δεδομένων: |
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