How do investors value sustainability?
| Autor: | Aslan, Aydin, Posch, Peter N. |
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| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: | |
| DOI: | 10.17877/de290r-23002 |
| Popis: | 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. Sustainability;2022, 14(23), 15963 |
| Databáze: | OpenAIRE |
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