Multi-objective selection of portfolios using ESG controversies

It is increasingly common for investors to demand a certain degree of compliance and commitment environmental, social governance (ESG) variables in their investments, without renouncing maximising returns with the minimum possible risk. In this paper, multi-objective optimisation model applied Dow Jones stocks used analyse construction portfolios taking into account level controversies each asset portfolio. Controversies are associated non-compliance by companies ESG areas, either due lack dedication resources or control. The priori expected positive relationship between higher profitability low number not confirmed. This means that those highest necessarily less vice versa. finding contradicts results obtained some previous studies underline importance applying models properly investors’ preferences, including compliance.