Available at: https://digitalcommons.calpoly.edu/theses/2879
Date of Award
5-2024
Degree Name
MS in Mathematics
Department/Program
Mathematics
College
College of Agriculture, Food, and Environmental Sciences
Advisor
Dana Paquin
Advisor Department
Mathematics
Advisor College
College of Science and Mathematics
Abstract
We numerically investigate the effects that Environmental, Social, and Governance (ESG) scores have on portfolio optimization with Modern Portfolio Theory assumptions and how ESG scores correlate with the market returns of a rated company's stock. Additionally, we review and analyze a research paper published in the Journal of Financial Economics regarding ESG investing titled “Responsible investing: The ESG-efficient frontier” by Pedersen, Fitzgibbons, and Lukasz. Our overall goal is provide insight for socially responsible inclined investors, to help them understand what ESG scores tell us and how those scores may effect their overall investment returns."
Included in
Applied Mathematics Commons, Finance Commons, Finance and Financial Management Commons, Mathematics Commons, Portfolio and Security Analysis Commons, Social Statistics Commons