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- Published online January 31, 2020.
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- Latest version (January 13, 2020 - 04:33).
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© 2020 Pageant Media Ltd
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- Christopher C. Geczy
- John B. Guerard Jr,
- Mikhail Samonov
- To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
Warning: SRI Need Not Kill Your Sharpe and Information Ratios—Forecasting of Earnings and Efficient SRI and ESG Portfolios
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- Article
- Abstract
- ON THE IMPORTANCE OF NORMALIZED ESG SCORES
- FROM RAW TO NORMALIZED SCORE DEFINITIONS
- SIMPLY WEIGHTED PORTFOLIOS
- OPTIMIZED PORTFOLIO SETTINGS
- EXPECTED RETURNS
- CONSTRUCTING MEAN–VARIANCE-EFFICIENT PORTFOLIOS
- AN INITIAL REPLICATION OF THE EARLY NO-COST SRI STUDIES
- CTEF MVTAR WITH NORMALIZED KLD CRITERIA
- SUMMARY AND CONCLUSIONS
- ADDITIONAL READING
- ACKNOWLEDGMENTS
- APPENDIX
- ESG RATINGS DEFINITIONS
- ENDNOTES
- REFERENCES
- Info & Metrics
- PDF (Subscribers Only)
- PDF (Subscribers Only)
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