A bilevel approach to ESG multi-portfolio selection

Abstract We rely on bilevel programming to model the problem of financial service providers that, in order meet stakeholders’ demands and regulatory requirements, aim at incentivizing accounts’ holders construct ESG-oriented portfolios so that overall ESG impact firm is optimized, while preferences owners are still satisfied. analyze this complicated framework from a theoretical point view identify sufficient conditions make it numerically tractable via novel, specifically tailored algorithm, whose convergence properties studied. Numerical testing real-world data confirms insights shows our can be solved even when dealing with considerable sizes.