混合风险测度下基于ESG投资理念的投资组合选择

Portfolio Selection with the ESG Investment Philosophy and Hybrid Risk Measure

近年来,越来越多的投资者将环境、社会、治理(ESG)等因素纳入到投资决策过程中,基于ESG投资理念的投资模式逐渐盛行,但现有基于ESG投资理念的决策模型的研究忽视了社会责任投资者管理损失左尾的需求.基于此,文章综合考虑收益波动及发生小概率极端事件引致的损失,利用方差和谱风险两种迥异风险度量,构造可兼顾管理对称中心风险和非对称下偏风险的混合风险测度,以塑造更有利的期末财富概率分布.进一步地,将该混合风险测度应用于可持续投资决策中,在现实交易约束限制下,构建反映投资者社会价值观且可管理两种不同特征风险的均值-混合风险投资组合选择模型,并将其等价表述为二次约束凸规划问题以计算最优可持续投资策略及有效前沿.数值分析表明,在卖空约束下,较之基于ESG投资理念的均值-方差模型,混合风险测度模型可在不降低投资组合可持续性水平前提下改善金融财务方面表现,且投资者管理下偏风险的偏好程度与可持续投资表现成正相关关系.此外,ESG负面筛选策略降低了最优投资组合的分散化程度,导致投资风险增大,从而使得可持续投资的业绩表现欠佳.同时,反映投资者风险厌恶程度的权重参数也显著影响了可持续投资表现.因此,投资者应谨慎采取ESG负面筛选策略,并需依据自身风险厌恶程度选择恰当的权重函数,从而提高财务效益及社会效益.

Over the past few years,an ever-increasing number of investors have embraced the integration of environmental,social,and governance(ESG)factors within their decision-making processes.As a result,the growing popularity of investment models with the ESG investment philosophy.Recognizing the limitations of existing decision models based on this philosophy,which neglect the left-tail loss management demands of socially responsible investors,this paper comprehensively considers return volatility and losses caused by low probability extreme events.Specifically,we introduce a hybrid risk measure,combining variance and spectral risk measures,that can effectively manage both symmetric and asymmetric risks.The objective is to shape a more favorable probability distribution of terminal wealth.Then we apply this hybrid risk measure to the sustainable investment decision-making process and construct a mean-risk portfolio selection model with the hybrid risk measure and cone constraints.By doing so,this model reflects investors'social values while effectively characterizing two distinct risk features under realistic trading constraints.To determine optimal sustainable investment strategies and outline the efficient frontier,we convert the model into a quadratic-constrained convex programming problem.The findings from the numerical analysis demonstrate that the hybrid risk measure model enhances financial performance without sacrificing portfolio sustainability when short selling is prohibited,in comparison to the mean-variance model with the ESG investment philosophy.Moreover,it is observed that a positive correlation between sustainable investment performance and investors'inclination toward controlling downside risks.It is essential to note that the implementation of ESG negative screening strategies results in reduced diversification of the optimal portfolio.This reduction subsequently increases investment risk,thereby adversely impacting the performance of sustainable investments.Additionally,the weight parameters reflecting investors'risk aversion significantly impact sustainable investment performance.As a result,prudent consideration should be given to the adoption of ESG negative screening strategies,along with the selection of an appropriate weight function aligned with the investors'risk aversion,to optimize both financial and social benefits.