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How do investors value sustainability?

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  • معلومة اضافية
    • الموضوع:
      2022
    • Collection:
      Technische Universität Dortmund: Eldorado
    • نبذة مختصرة :
      We investigate how an investor’s preference for sustainable assets in the portfolio varies for differing levels of risk aversion. Using a sample of 411 publicly listed firms in the S&P 500, we calculate financial and sustainability returns, on which the investor’s utility depends. We approximate the investor’s preference by the exponential and s-shaped utility function and optimize with regard to the sustainability preference. We find that with increasing levels of risk aversion, both minimum-variance and maximum Sharpe ratio type investors seek to incorporate sustainable assets in the portfolio.
    • Relation:
      Sustainability;2022, 14(23), 15963; http://hdl.handle.net/2003/41155; http://dx.doi.org/10.17877/DE290R-23002
    • الرقم المعرف:
      10.17877/DE290R-23002
    • الدخول الالكتروني :
      http://hdl.handle.net/2003/41155
      https://doi.org/10.17877/DE290R-23002
    • Rights:
      http://creativecommons.org/licenses/by/4.0/
    • الرقم المعرف:
      edsbas.E41A5565