Over the past two decades, corporate Environmental, Social, and Governance (ESG) factors have received growing attention from both theoretical, institutional, and retail investor perspectives. So far, empirical evidence on the actual impact of ESG integration in portfolio construction remains mixed, and its effectiveness continues to be debated in the literature. This study analyzes portfolios composed of fully balanced portfolios, including five low-, five medium-, and five high-ESG-risk assets. To mitigate the impact of asset selection, we simulate 10,000 such portfolios, each built from a random subset of the top 200 NASDAQ constituents by market weight.
ESG Factors and Asset Allocation: Evidence from Simulated Portfolios
Luigi Aldieri;Alessandra Amendola;Vincenzo Candila
2026
Abstract
Over the past two decades, corporate Environmental, Social, and Governance (ESG) factors have received growing attention from both theoretical, institutional, and retail investor perspectives. So far, empirical evidence on the actual impact of ESG integration in portfolio construction remains mixed, and its effectiveness continues to be debated in the literature. This study analyzes portfolios composed of fully balanced portfolios, including five low-, five medium-, and five high-ESG-risk assets. To mitigate the impact of asset selection, we simulate 10,000 such portfolios, each built from a random subset of the top 200 NASDAQ constituents by market weight.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
