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Sustainable Portfolio Management

A special issue of Sustainability (ISSN 2071-1050).

Deadline for manuscript submissions: closed (31 December 2021) | Viewed by 23573

Special Issue Editors

Dr. Fernando García

E-Mail Website
Guest Editor
Department of Economics and Social Sciences, Universitat Politècnica de València, 46022 València, Spain
Interests: sustainability; financial markets; investment strategies; ESG; asset valuation; socially responsible investment
Special Issues, Collections and Topics in MDPI journals
Dr. Jairo González-Bueno

E-Mail Website
Guest Editor
Faculty of Business Administration, Universidad Pontificia Bolivariana, 681017 Bucaramanga , Colombia
Interests: portfolio management; financial markets; ethical investment; valuation
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

The Dow Jones Sustainability Index was launched in 1999 as one of the first global indices to track the stock performance of the world's leading companies that meet sustainability criteria. In this regard, sustainability has encouraged companies to frame their decisions in terms of long-term environmental, social, and corporate governance impact, rather than short-term results. In other words, meeting environmental, social, and governance (ESG) criteria leads companies to consider more factors than simply their immediate profit or loss involved.

Investors are dedicating vast resources to investments that meet ESG criteria, and companies are focusing their efforts on meeting the required business behavior that will enable them to achieve the desired sustainability label. This allows them to access a growing source of funding and investors. In the next decade, sustainability will not be a desirable quality but a requirement to obtain favorable financing costs.

Bearing this consideration in mind, the aim of this Special Issue is to bring together cutting-edge research that addresses contemporary and future challenges and opportunities in socially responsible portfolio management. Suitable topics include but are not limited to sustainable portfolio management methodologies, sustainable stock indices, corporate behavior and reputation, ESG rating score and rating agencies, ethical investing, green bonds, multicriteria investment decisions, performance analysis, social ratings, sustainable investment strategies, sustainable information and reporting, investing and sustainable development goals (SDG), sustainability, and sovereign funds.

References:

  1. Arribas, I.; Espinós-Vañó, M.D.; García, F.; Morales-Bañuelos, P.B. The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices. Sustainability 2019, 11, 2047.
  2. Chen, Z.; Zhuang, X.; Liu, J. A Sustainability-Oriented Enhanced Indexation Model with Regime Switching and Cardinality Constraint. Sustainability 2019, 11, 4055.
  3. García, F.; González-Bueno, J.; Oliver, J.; Riley, N. Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach. Sustainability 2019, 11, 2496.
  4. Gupta, P.; Mehlawat, M.K.; Khan, A.Z. Multi-period portfolio optimization using coherent fuzzy numbers in a credibilistic environment. Expert Syst. Appl. 2021, 167.
  5. Huang, X.; Jiang, G.; Gupta, P.; Mehlawat, M.K. A risk index model for uncertain portfolio selection with background risk. Comput. Oper. Res. 2021, 105331.
  6. Huang, X.; Wang, X. International portfolio optimization based on uncertainty theory. Optimization 2021, 70, 225–249.
  7. Ielasi, F.; Ceccherini, P.; Zito, P. Integrating ESG Analysis into Smart Beta Strategies. Sustainability 2020, 12, 9351.
  8. Jakubik, P.; Uguz, S. Impact of green bond policies on insurers: evidence from the European equity market. J. Econ. Financ. 2021, 45, 381–393.
  9. Jawadi, F.; Louhichi, W.; Cheffou, A.I.; Ameur, H. Ben Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model. Ann. Oper. Res. 2019, 281, 275–295.
  10. Khan, K.I.; Naqvi, S.M.W.A.; Ghafoor, M.M.; Akash, R.S.I. Sustainable Portfolio Optimization with Higher-Order Moments of Risk. Sustainability 2020, 12, 2006.
  11. Ma, X.; Chen, J.; Sun, Y.; Zhu, Z. Assistant reference point guided evolutionary algorithm for many-objective fuzzy portfolio selection. Swarm Evol. Comput. 2021, 62.
  12. Maltais, A.; Nykvist, B. Understanding the role of green bonds in advancing sustainability. J. Sustain. Financ. Invest. 2020, 1–20.
  13. Mehlawat, M.K.; Gupta, P.; Kumar, A.; Yadav, S.; Aggarwal, A. Multiobjective Fuzzy Portfolio Performance Evaluation Using Data Envelopment Analysis under Credibilistic Framework. IEEE Trans. Fuzzy Syst. 2020, 28, 2726–2737.
  14. Stoilov, T.; Stoilova, K.; Vladimirov, M. Explicit Value at Risk Goal Function in Bi-Level Portfolio Problem for Financial Sustainability. Sustainability 2021, 13, 2315.
  15. Utz, S. Corporate Scandals and the Reliability of ESG Assessments: Evidence from an international sample. Rev. Manag. Sci. 2019, 13, 483-511.

Dr. Fernando García
Dr. Jairo González-Bueno
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Sustainability is an international peer-reviewed open access semimonthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 2400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • corporate reputation
  • ESG rating score
  • ethical investing
  • green bonds
  • multicriteria
  • investment decisions
  • portfolio selection methodologies
  • social rating agencies
  • sustainable financial markets
  • sustainable investment strategies
  • sustainable information and reporting
  • sustainable
  • portfolio management
  • sustainable stock index
  • sustainable development goals

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Published Papers (4 papers)

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Research

11 pages, 999 KiB  
Article
Immunology-Based Sustainable Portfolio Management
by Sarunas Raudys, Aistis Raudys, Zidrina Pabarskaite and Ausra Liubaviciute
Sustainability 2022, 14(5), 2531; https://doi.org/10.3390/su14052531 - 22 Feb 2022
Cited by 2 | Viewed by 1928
Abstract
Immunological principles can be used to build a sustainable investment portfolio. The theory of immunology states that information about recognized pathogens is stored in the memory of the immune system. Information about previous illnesses can be helpful when the pathogen re-enters the body. [...] Read more.
Immunological principles can be used to build a sustainable investment portfolio. The theory of immunology states that information about recognized pathogens is stored in the memory of the immune system. Information about previous illnesses can be helpful when the pathogen re-enters the body. Real-time analysis of 11 automated financial trading datasets confirmed this phenomenon in financial time series. Therefore, in order to increase the sustainability of the portfolio, we propose to train the portfolio with the most similar segments of historical data. The segment size and offset may vary depending on the data set and time. Full article
(This article belongs to the Special Issue Sustainable Portfolio Management)
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28 pages, 7398 KiB  
Article
Does ESG Impact Really Enhance Portfolio Profitability?
by Francesco Cesarone, Manuel Luis Martino and Alessandra Carleo
Sustainability 2022, 14(4), 2050; https://doi.org/10.3390/su14042050 - 11 Feb 2022
Cited by 35 | Viewed by 10559
Abstract
Over the last few decades, growing attention to the topic of social responsibility has affected financial markets and institutional authorities. Indeed, recent environmental, social, and financial crises have inevitably led regulators and investors to take into account the sustainable investing issue; however, the [...] Read more.
Over the last few decades, growing attention to the topic of social responsibility has affected financial markets and institutional authorities. Indeed, recent environmental, social, and financial crises have inevitably led regulators and investors to take into account the sustainable investing issue; however, the question of how Environmental, Social, and Governance (ESG) criteria impact financial portfolio performances is still open. In this work, we examine a multi-objective optimization model for portfolio selection, where we add to the classical Mean-Variance analysis a third non-financial goal represented by the ESG scores. The resulting optimization problem, formulated as a convex quadratic programming, consists of minimizing the portfolio variance with parametric lower bounds on the levels of the portfolio expected return and ESG. We provide here an extensive empirical analysis on five datasets involving real-world capital market indexes from major stock markets. Our empirical findings typically reveal the presence of two behavioral patterns for the 16 Mean-Variance-ESG portfolios analyzed. Indeed, over the last fifteen years we can distinguish two non-overlapping time windows on which the inclusion of portfolio ESG targets leads to different regimes in terms of portfolio profitability. Furthermore, on the most recent time window, we observe that, for the US markets, imposing a high ESG target tends to select portfolios that show better financial performances than other strategies, whereas for the European markets the ESG constraint does not seem to improve the portfolio profitability. Full article
(This article belongs to the Special Issue Sustainable Portfolio Management)
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14 pages, 4216 KiB  
Article
Predicting Volatility Index According to Technical Index and Economic Indicators on the Basis of Deep Learning Algorithm
by Sara Mehrab Daniali, Sergey Evgenievich Barykin, Irina Vasilievna Kapustina, Farzin Mohammadbeigi Khortabi, Sergey Mikhailovich Sergeev, Olga Vladimirovna Kalinina, Alexey Mikhaylov, Roman Veynberg, Liubov Zasova and Tomonobu Senjyu
Sustainability 2021, 13(24), 14011; https://doi.org/10.3390/su132414011 - 19 Dec 2021
Cited by 42 | Viewed by 6854
Abstract
The Volatility Index (VIX) is a real-time index that has been used as the first measure to quantify market expectations for volatility, which affects the financial market as a main actor of the overall economy that is sensitive to the environmental and social [...] Read more.
The Volatility Index (VIX) is a real-time index that has been used as the first measure to quantify market expectations for volatility, which affects the financial market as a main actor of the overall economy that is sensitive to the environmental and social aspects of investors and companies. The VIX is calculated using option prices for the S&P 500 Index (SPX) and is expressed as a percentage. Taking into account that VIX only shows the implicit volatility of the S&P 500 for the next 30 days, the authors develop a model for a near-optimal state trying to avoid uncertainty and insufficient accuracy. The researchers are trying to make a contribution to the theory of socially responsible portfolio management. The developed approach allows potential investments to make decisions regarding such important topics as ethical investing, performance analysis, as well as sustainable investment strategies. The approach of this research allows to use deep probabilistic convolutional neural networks based on conditional variance as a linear function of errors with the aim of estimating and predicting the VIX. For this purpose, the use of technical indicators and economic indexes such as Chicago Board Options Exchange (CBOE) VIX and S&P 500 is considered. The results of estimating and predicting the VIX with the proposed method indicate high precision and create a certainty in modeling to achieve the goals. Full article
(This article belongs to the Special Issue Sustainable Portfolio Management)
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23 pages, 666 KiB  
Article
Environmental Portfolios—Evidence from Screening and Passive Portfolio Management
by Julian Amon, Margarethe Rammerstorfer and Karl Weinmayer
Sustainability 2021, 13(22), 12647; https://doi.org/10.3390/su132212647 - 16 Nov 2021
Cited by 4 | Viewed by 2365
Abstract
Environmental portfolios via screening or optimization with respect to ecological criteria are not clear-cut concepts. Often, they urge investors to reduce the asset universe, which is accompanied by diversification losses. In this article, we show that a simple passive asset selection strategy based [...] Read more.
Environmental portfolios via screening or optimization with respect to ecological criteria are not clear-cut concepts. Often, they urge investors to reduce the asset universe, which is accompanied by diversification losses. In this article, we show that a simple passive asset selection strategy based on environmental criteria allows ecological investors to adjust their portfolios without compromising or even reducing risk-adjusted financial performance. In detail, we show that screening does not lead to a significant financial performance reduction. Moreover, we propose an asset selection based on an environmental criteria that improves the portfolios’ financial performance, and further improves its potential positive environmental impact. Our results suggest that a combination of a screening and an environmental-scoring-based asset allocation seems to be a viable option for environmentally responsible investors leveraging the advantages of both strategies. Furthermore, we construct a risk factor CMP (clean minus polluting) and document a significant factor loading when added to the Fama–French five-factor model, suggesting the existence of a risk premium based on a firm’s environmental performance. Full article
(This article belongs to the Special Issue Sustainable Portfolio Management)
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