Optimal portfolio of European sustainable investment funds based on mean-variance optimization model

Autores
Rutenberg, Agustina Paula
Año de publicación
2024
Idioma
inglés
Tipo de recurso
tesis de maestría
Estado
versión aceptada
Colaborador/a o director/a de tesis
Armbruster, Christian
Armbruster, Christian
Dutto, Martín
Colberg, Tim
Dutto, Martín
Descripción
Fil: Rutenberg, Agustina Paula. Universidad Nacional del Litoral. Facultad de Ciencias Económicas; Argentina.
Fil: Rutenberg, Agustina Paula. University of Applied Sciences Hochschule Kaiserslautern. Department of Business Administration; Alemania.
Cada vez resulta más imperativo para los inversores reconocer qué fondos de inversión se ajustan a los criterios ESG, así como seleccionar aquel o aquellos que logran el equilibrio adecuado entre riesgo y rentabilidad, considerando estos criterios. Por eso esta tesis se centra en la construcción de una cartera sostenible que optimiza riesgo y rentabilidad mediante el método de optimización de media-varianza. Los resultados demuestran que la composición óptima puede lograr una alta rentabilidad, manteniendo el riesgo por debajo del riesgo medio. La presencia de correlaciones muy positivas, especialmente las derivadas de las estrategias de asignación de renta variable "large-growth" y "large-blend", lo que demuestra que invertir en sostenibilidad implica invertir a largo plazo, son suficientes para crear una combinación óptima, pero no para reducir el riesgo en una gran proporción. Sin embargo, la cartera ofrece una diversificación que reparte el riesgo entre sectores y países, reduciendo el impacto del rendimiento más bajo que trae aparejado invertir en un solo fondo. Esta cartera ofrece la mejor rentabilidad ajustada al riesgo de cualquier cartera compuesta por los fondos sostenibles europeos de la muestra. Además, esta tesis llega a la conclusión de que los gestores de fondos deberían buscar otras alternativas para ganar diferenciación en las estrategias de asignación de renta variable, mientras que los responsables políticos europeos deben asegurarse de que la normativa en el ámbito sostenible no restringa la diversificación de los fondos sostenibles europeos.    
It is becoming increasingly imperative for investors to recognise which investment funds are aligned with ESG criteria, as well as to select the one(s) that strike the right balance between risk and return, considering ESG features. Therefore, this thesis focuses on the construction of a sustainable portfolio that optimizes risk and return by means of the mean-variance optimization method. The findings demonstrate that the optimal composition can achieve a high return, while maintaining the risk below the average risk of all European sustainable funds of the sample. The presence of highly positive correlations, especially arising from large-growth and large-blend equity allocation strategies, demonstrating that investing in sustainability implies investing in the long-term, are sufficient to create an optimal mix, but not to reduce risk by a large proportion. However, the portfolio offers diversification that spreads risk across sectors and countries, reducing the impact of underperformance in any single fund. This portfolio provides the best risk-adjusted return of any portfolio consisting of the sample's European sustainable funds. Any type of investor can invest in it in different proportions, when combined with a risk-free asset, to obtain a volatility and return in accordance with the risk aversion. Apart from that, fund managers should seek further alternatives to gain differentiation in equity allocation strategies, while European policymakers must ensure that the regulations in the sustainable field do not re-strict the diversification of European sustainable funds.
It is becoming increasingly imperative for investors to recognise which investment funds are aligned with ESG criteria, as well as to select the one(s) that strike the right balance between risk and return, considering ESG features. Therefore, this thesis focuses on the construction of a sustainable portfolio that optimizes risk and return by means of the mean-variance optimization method. The findings demonstrate that the optimal composition can achieve a high return, while maintaining the risk below the average risk of all European sustainable funds of the sample. The presence of highly positive correlations, especially arising from large-growth and large-blend equity allocation strategies, demonstrating that investing in sustainability implies investing in the long-term, are sufficient to create an optimal mix, but not to reduce risk by a large proportion. However, the portfolio offers diversification that spreads risk across sectors and countries, reducing the impact of underperformance in any single fund. This portfolio provides the best risk-adjusted return of any portfolio consisting of the sample's European sustainable funds. Any type of investor can invest in it in different proportions, when combined with a risk-free asset, to obtain a volatility and return in accordance with the risk aversion. Apart from that, fund managers should seek further alternatives to gain differentiation in equity allocation strategies, while European policymakers must ensure that the regulations in the sustainable field do not re-strict the diversification of European sustainable funds.
Materia
Portfolio
Optimización de media varianza
Retorno ajustado al riesgo
Portfolio óptimo
Sostenibilidad
Fondos sostenibles
Correlación
Portfolio
Mean-variance optimization
Risk-adjusted return
Optimal portfolio
Sustainability
Sustainable funds
Correlation
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
Repositorio
Biblioteca Virtual (UNL)
Institución
Universidad Nacional del Litoral
OAI Identificador
oai:https://bibliotecavirtual.unl.edu.ar:11185/7710

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network_name_str Biblioteca Virtual (UNL)
spelling Optimal portfolio of European sustainable investment funds based on mean-variance optimization modelOptimal portfolio of European sustainable investment funds based on mean-variance optimization modelRutenberg, Agustina PaulaPortfolioOptimización de media varianzaRetorno ajustado al riesgoPortfolio óptimoSostenibilidadFondos sosteniblesCorrelaciónPortfolioMean-variance optimizationRisk-adjusted returnOptimal portfolioSustainabilitySustainable fundsCorrelationFil: Rutenberg, Agustina Paula. Universidad Nacional del Litoral. Facultad de Ciencias Económicas; Argentina.Fil: Rutenberg, Agustina Paula. University of Applied Sciences Hochschule Kaiserslautern. Department of Business Administration; Alemania.Cada vez resulta más imperativo para los inversores reconocer qué fondos de inversión se ajustan a los criterios ESG, así como seleccionar aquel o aquellos que logran el equilibrio adecuado entre riesgo y rentabilidad, considerando estos criterios. Por eso esta tesis se centra en la construcción de una cartera sostenible que optimiza riesgo y rentabilidad mediante el método de optimización de media-varianza. Los resultados demuestran que la composición óptima puede lograr una alta rentabilidad, manteniendo el riesgo por debajo del riesgo medio. La presencia de correlaciones muy positivas, especialmente las derivadas de las estrategias de asignación de renta variable "large-growth" y "large-blend", lo que demuestra que invertir en sostenibilidad implica invertir a largo plazo, son suficientes para crear una combinación óptima, pero no para reducir el riesgo en una gran proporción. Sin embargo, la cartera ofrece una diversificación que reparte el riesgo entre sectores y países, reduciendo el impacto del rendimiento más bajo que trae aparejado invertir en un solo fondo. Esta cartera ofrece la mejor rentabilidad ajustada al riesgo de cualquier cartera compuesta por los fondos sostenibles europeos de la muestra. Además, esta tesis llega a la conclusión de que los gestores de fondos deberían buscar otras alternativas para ganar diferenciación en las estrategias de asignación de renta variable, mientras que los responsables políticos europeos deben asegurarse de que la normativa en el ámbito sostenible no restringa la diversificación de los fondos sostenibles europeos.    It is becoming increasingly imperative for investors to recognise which investment funds are aligned with ESG criteria, as well as to select the one(s) that strike the right balance between risk and return, considering ESG features. Therefore, this thesis focuses on the construction of a sustainable portfolio that optimizes risk and return by means of the mean-variance optimization method. The findings demonstrate that the optimal composition can achieve a high return, while maintaining the risk below the average risk of all European sustainable funds of the sample. The presence of highly positive correlations, especially arising from large-growth and large-blend equity allocation strategies, demonstrating that investing in sustainability implies investing in the long-term, are sufficient to create an optimal mix, but not to reduce risk by a large proportion. However, the portfolio offers diversification that spreads risk across sectors and countries, reducing the impact of underperformance in any single fund. This portfolio provides the best risk-adjusted return of any portfolio consisting of the sample's European sustainable funds. Any type of investor can invest in it in different proportions, when combined with a risk-free asset, to obtain a volatility and return in accordance with the risk aversion. Apart from that, fund managers should seek further alternatives to gain differentiation in equity allocation strategies, while European policymakers must ensure that the regulations in the sustainable field do not re-strict the diversification of European sustainable funds.It is becoming increasingly imperative for investors to recognise which investment funds are aligned with ESG criteria, as well as to select the one(s) that strike the right balance between risk and return, considering ESG features. Therefore, this thesis focuses on the construction of a sustainable portfolio that optimizes risk and return by means of the mean-variance optimization method. The findings demonstrate that the optimal composition can achieve a high return, while maintaining the risk below the average risk of all European sustainable funds of the sample. The presence of highly positive correlations, especially arising from large-growth and large-blend equity allocation strategies, demonstrating that investing in sustainability implies investing in the long-term, are sufficient to create an optimal mix, but not to reduce risk by a large proportion. However, the portfolio offers diversification that spreads risk across sectors and countries, reducing the impact of underperformance in any single fund. This portfolio provides the best risk-adjusted return of any portfolio consisting of the sample's European sustainable funds. Any type of investor can invest in it in different proportions, when combined with a risk-free asset, to obtain a volatility and return in accordance with the risk aversion. Apart from that, fund managers should seek further alternatives to gain differentiation in equity allocation strategies, while European policymakers must ensure that the regulations in the sustainable field do not re-strict the diversification of European sustainable funds.Armbruster, ChristianArmbruster, ChristianDutto, MartínColberg, TimDutto, Martín2024-08-09T22:25:43Z2024-02-08SNRDinfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/acceptedVersionhttp://purl.org/coar/resource_type/c_bdccinfo:ar-repo/semantics/tesisDeMaestriaapplication/pdfhttps://hdl.handle.net/11185/7710enginfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.esreponame:Biblioteca Virtual (UNL)instname:Universidad Nacional del Litoralinstacron:UNL2025-09-29T14:30:48Zoai:https://bibliotecavirtual.unl.edu.ar:11185/7710Institucionalhttp://bibliotecavirtual.unl.edu.ar/Universidad públicaNo correspondeajdeba@unl.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:21872025-09-29 14:30:48.421Biblioteca Virtual (UNL) - Universidad Nacional del Litoralfalse
dc.title.none.fl_str_mv Optimal portfolio of European sustainable investment funds based on mean-variance optimization model
Optimal portfolio of European sustainable investment funds based on mean-variance optimization model
title Optimal portfolio of European sustainable investment funds based on mean-variance optimization model
spellingShingle Optimal portfolio of European sustainable investment funds based on mean-variance optimization model
Rutenberg, Agustina Paula
Portfolio
Optimización de media varianza
Retorno ajustado al riesgo
Portfolio óptimo
Sostenibilidad
Fondos sostenibles
Correlación
Portfolio
Mean-variance optimization
Risk-adjusted return
Optimal portfolio
Sustainability
Sustainable funds
Correlation
title_short Optimal portfolio of European sustainable investment funds based on mean-variance optimization model
title_full Optimal portfolio of European sustainable investment funds based on mean-variance optimization model
title_fullStr Optimal portfolio of European sustainable investment funds based on mean-variance optimization model
title_full_unstemmed Optimal portfolio of European sustainable investment funds based on mean-variance optimization model
title_sort Optimal portfolio of European sustainable investment funds based on mean-variance optimization model
dc.creator.none.fl_str_mv Rutenberg, Agustina Paula
author Rutenberg, Agustina Paula
author_facet Rutenberg, Agustina Paula
author_role author
dc.contributor.none.fl_str_mv Armbruster, Christian
Armbruster, Christian
Dutto, Martín
Colberg, Tim
Dutto, Martín
dc.subject.none.fl_str_mv Portfolio
Optimización de media varianza
Retorno ajustado al riesgo
Portfolio óptimo
Sostenibilidad
Fondos sostenibles
Correlación
Portfolio
Mean-variance optimization
Risk-adjusted return
Optimal portfolio
Sustainability
Sustainable funds
Correlation
topic Portfolio
Optimización de media varianza
Retorno ajustado al riesgo
Portfolio óptimo
Sostenibilidad
Fondos sostenibles
Correlación
Portfolio
Mean-variance optimization
Risk-adjusted return
Optimal portfolio
Sustainability
Sustainable funds
Correlation
dc.description.none.fl_txt_mv Fil: Rutenberg, Agustina Paula. Universidad Nacional del Litoral. Facultad de Ciencias Económicas; Argentina.
Fil: Rutenberg, Agustina Paula. University of Applied Sciences Hochschule Kaiserslautern. Department of Business Administration; Alemania.
Cada vez resulta más imperativo para los inversores reconocer qué fondos de inversión se ajustan a los criterios ESG, así como seleccionar aquel o aquellos que logran el equilibrio adecuado entre riesgo y rentabilidad, considerando estos criterios. Por eso esta tesis se centra en la construcción de una cartera sostenible que optimiza riesgo y rentabilidad mediante el método de optimización de media-varianza. Los resultados demuestran que la composición óptima puede lograr una alta rentabilidad, manteniendo el riesgo por debajo del riesgo medio. La presencia de correlaciones muy positivas, especialmente las derivadas de las estrategias de asignación de renta variable "large-growth" y "large-blend", lo que demuestra que invertir en sostenibilidad implica invertir a largo plazo, son suficientes para crear una combinación óptima, pero no para reducir el riesgo en una gran proporción. Sin embargo, la cartera ofrece una diversificación que reparte el riesgo entre sectores y países, reduciendo el impacto del rendimiento más bajo que trae aparejado invertir en un solo fondo. Esta cartera ofrece la mejor rentabilidad ajustada al riesgo de cualquier cartera compuesta por los fondos sostenibles europeos de la muestra. Además, esta tesis llega a la conclusión de que los gestores de fondos deberían buscar otras alternativas para ganar diferenciación en las estrategias de asignación de renta variable, mientras que los responsables políticos europeos deben asegurarse de que la normativa en el ámbito sostenible no restringa la diversificación de los fondos sostenibles europeos.    
It is becoming increasingly imperative for investors to recognise which investment funds are aligned with ESG criteria, as well as to select the one(s) that strike the right balance between risk and return, considering ESG features. Therefore, this thesis focuses on the construction of a sustainable portfolio that optimizes risk and return by means of the mean-variance optimization method. The findings demonstrate that the optimal composition can achieve a high return, while maintaining the risk below the average risk of all European sustainable funds of the sample. The presence of highly positive correlations, especially arising from large-growth and large-blend equity allocation strategies, demonstrating that investing in sustainability implies investing in the long-term, are sufficient to create an optimal mix, but not to reduce risk by a large proportion. However, the portfolio offers diversification that spreads risk across sectors and countries, reducing the impact of underperformance in any single fund. This portfolio provides the best risk-adjusted return of any portfolio consisting of the sample's European sustainable funds. Any type of investor can invest in it in different proportions, when combined with a risk-free asset, to obtain a volatility and return in accordance with the risk aversion. Apart from that, fund managers should seek further alternatives to gain differentiation in equity allocation strategies, while European policymakers must ensure that the regulations in the sustainable field do not re-strict the diversification of European sustainable funds.
It is becoming increasingly imperative for investors to recognise which investment funds are aligned with ESG criteria, as well as to select the one(s) that strike the right balance between risk and return, considering ESG features. Therefore, this thesis focuses on the construction of a sustainable portfolio that optimizes risk and return by means of the mean-variance optimization method. The findings demonstrate that the optimal composition can achieve a high return, while maintaining the risk below the average risk of all European sustainable funds of the sample. The presence of highly positive correlations, especially arising from large-growth and large-blend equity allocation strategies, demonstrating that investing in sustainability implies investing in the long-term, are sufficient to create an optimal mix, but not to reduce risk by a large proportion. However, the portfolio offers diversification that spreads risk across sectors and countries, reducing the impact of underperformance in any single fund. This portfolio provides the best risk-adjusted return of any portfolio consisting of the sample's European sustainable funds. Any type of investor can invest in it in different proportions, when combined with a risk-free asset, to obtain a volatility and return in accordance with the risk aversion. Apart from that, fund managers should seek further alternatives to gain differentiation in equity allocation strategies, while European policymakers must ensure that the regulations in the sustainable field do not re-strict the diversification of European sustainable funds.
description Fil: Rutenberg, Agustina Paula. Universidad Nacional del Litoral. Facultad de Ciencias Económicas; Argentina.
publishDate 2024
dc.date.none.fl_str_mv 2024-08-09T22:25:43Z
2024-02-08
dc.type.none.fl_str_mv SNRD
info:eu-repo/semantics/masterThesis
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status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/11185/7710
url https://hdl.handle.net/11185/7710
dc.language.none.fl_str_mv eng
language eng
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