ESG and Derivatives
提出将ESG筛选应用于包含衍生品的投资组合的框架，并以大宗商品期货为例，评估两种假设的ESG筛选对多元化期货组合的影响。
Like stocks and bonds, derivatives investments have a measurable environmental, social, and governance (ESG) impact. This paper provides a rationale and a simple framework for applying ESG screens to portfolios that include derivatives, with a particular application to commodity futures. Commodities are ranked based on their top-down ESG scores, and we evaluate the impact of two hypothetical ESG screens for a diversified commodity futures portfolio.