ESG portfolio financial performance: Evidence from Casablanca Stock Exchange
DOI :
https://doi.org/10.48396/IMIST.PRSM/mjeim-v8i1%20&%202.43252Mots-clés :
ESG, Portfolio, Financial performance, Skewness, Kurtosis.Résumé
This research paper seeks to analyze the performance of a socially responsible portfolio constituted by the stocks composing "Casablanca ESG 10" index through comparing it with a conventional portfolio that is not interested in this distinction of social responsibility.
According to the results of the first step of the Mean-Variance-Skewness-Kurtosis
optimization model which consists in determining the best scenarios, we found that the ESG portfolio is less performing at the level of all the moments (mean, variance, skewness and kurtosis). As for the second step of incorporating investor preferences into the Polynomial Goal Programming, we found that the ESG portfolio is more advantageous in terms of skewness, although it is less diversified.
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