How Do Investors Value Sustainability? A Utility-Based Preference Optimization

We investigate how an investor’s preference for sustainable assets in the portfolio varies differing levels of risk aversion. Using a sample 411 publicly listed firms S&P 500, we calculate financial and sustainability returns, on which utility depends. approximate by exponential s-shaped function optimize with regard to preference. find that increasing aversion, both minimum-variance maximum Sharpe ratio type investors seek incorporate portfolio.