Motivated by the increasing importance of sustainability in investing, Steuer and Utz (2023) propose a new approach for integrating environmental, social and governance (ESG) scores into the portfolio selection process. These authors claim that their multi-objective portfolio optimization problem always provides mean-variance-ESG-efficient solutions because it belongs to the class of -constraint problems. Contending that this classification is problematic, we show that the developed approach cannot guarantee efficient portfolios.

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关于 Steuer 和 Utz (2023) 用于生成可持续高效前沿的多目标优化方法的说明

由于可持续发展在投资中日益重要，Steuer 和 Utz（2023）提出了一种将环境、社会和治理（ESG）评分纳入投资组合选择过程的新方法。这些作者声称，他们的多目标投资组合优化问题总是提供均值方差 ESG 有效的解决方案，因为它属于约束问题类。我们认为这种分类是有问题的，我们表明所开发的方法不能保证有效的投资组合。