A bilevel approach to ESG multi-portfolio selection

被引：3
|
作者：
Cesarone, Francesco [1 ]
Lampariello, Lorenzo [1 ]
Merolla, Davide [2 ]
Ricci, Jacopo Maria [3 ]
Sagratella, Simone [2 ]
Sasso, Valerio Giuseppe [2 ]
机构：
[1] Roma Tre Univ, Dept Business Studies, Rome, Italy
[2] Sapienza Univ Rome, Dept Comp Control & Management Engn Antonio Rubert, Rome, Italy
[3] Univ Bergamo, Dept Econ, Bergamo, Italy
来源：
COMPUTATIONAL MANAGEMENT SCIENCE | 2023年 / 20卷 / 01期
关键词：
Sustainable investment strategies; Multi-portfolio selection; ESG rating scores; Nash equilibrium problems; Bilevel optimization; EQUILIBRIUM; OPTIMIZATION; INVESTMENT; ALGORITHMS; PROGRAMS; MARKET;
D O I：
10.1007/s10287-023-00458-y
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
We rely on bilevel programming to model the problem of financial service providers that, in order to meet stakeholders' demands and regulatory requirements, aim at incentivizing accounts' holders to construct ESG-oriented portfolios so that the overall ESG impact of the firm is optimized, while the preferences of accounts' owners are still satisfied. We analyze this complicated framework from a theoretical point of view and identify sufficient conditions that make it numerically tractable via a novel, specifically tailored algorithm, whose convergence properties are studied. Numerical testing on real-world data confirms the theoretical insights and shows that our model can be solved even when dealing with considerable problem sizes.
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收藏
页数：23
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