Despite its theoretical appeal, Markowitz mean-variance portfolio optimization is plagued by practical issues. It is especially difficult to obtain reliable estimates of a stock's expected return. Recent research has therefore focused on minimum volatility portfolio optimization, which...

Previous literature shows inconclusive results regarding the relation between Corporate Social and Environmental Responsibility (CSR and CER) and expected returns. We argue that the reason for these mixed results is that the sustainability premium, i.e., the return difference of high-intensity...