Optimal portfolio choice with ESG considerations and asymmetric information
研究了考虑环境、社会和治理（ESG）因素时，三类投资者（棕色、绿色和混合）的最优投资组合问题，并分析了ESG信息可获取性对投资策略的影响。
We study portfolio optimization problems incorporating environmental, social, and governance (ESG) factors for three types of investors, namely brown investors who care only about their wealth, green investors who prefer assets with high ESG ratings, and mixed investors who take a position between the two. Given that some ESG ratings are not publicly available, we distinguish between different levels of ESG information accessibility for these investors. We explore the impact of ESG preferences and ESG information accessibility on investment strategies, addressing issues such as the components of optimal portfolios of different investors and the utility indifference value of nonpublic ESG information.