Institutional Repository
Technical University of Crete
Technical University of Crete
EN
|
EL
| URI: | http://purl.tuc.gr/dl/dias/5377B24C-570E-467A-AC36-6035895D08E7 | ||
| Year | 2025 | ||
| Type of Item | Diploma Work | ||
| License |
|
||
| Bibliographic Citation | Alexandros Krasakis, "Incorporating ESG factors in portfolio management: A multicriteria methodology", Diploma Work, School of Production Engineering and Management, Technical University of Crete, Chania, Greece, 2025 https://doi.org/10.26233/heallink.tuc.103844 | ||
| Appears in Collections |
This study investigates the impact of integrating ESG criteria into investment portfolio management during three major global crises: the COVID-19 pandemic, the Russia–Ukraine war, and the recent conflict between Israel and Palestine. The analysis employs two portfolio optimization models: the Mean-Variance (M-V) model and the Mean-Conditional Value at Risk (M-CVaR) model. Portfolioperformance is evaluated using the Sharpe ratio, the Treynor ratio, and the beta coefficient. The results reveal that the influence of ESG scores on portfolio performance is not uniform but varies significantly depending on the nature and duration of each crisis. Specifically, portfolios with high ESG ratings exhibit greater resilience and stability during periods of heightened geopolitical tension, while during the pandemic, portfolios without ESG constraints performed better.
Copyright © DIAS 2013
