This paper evaluates the impact of a screening process based on Environment, Social, and Governance (ESG) scores for an otherwise passive portfolio of investment-grade corporate bonds. The main result is that this filtering leads to a substantial improvement of the targeted ESG score without...

We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a sighifiant cost would arise. The performance...

Environmental, Social, and Governance (ESG) scores are the main tool for asset managers in designing and implementing ESG investment strategies. They amalgamate a broad range of fundamentally different factors, creating ambiguity for investors as to the signals of higher or lower ESG scores. We...