Home > Research > Publications & Outputs > 3D Investing

Research

Associated organisational unit

Electronic data

Links

View graph of relations

3D Investing: Jointly Optimizing Return, Risk, and Sustainability

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

3D Investing: Jointly Optimizing Return, Risk, and Sustainability. / Lohre, Harald; Blitz, David; Chen, Mike et al.
In: Financial Analysts Journal, Vol. 80, No. 3, 29.04.2024, p. 59-75.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Lohre, H, Blitz, D, Chen, M & Howard, C 2024, '3D Investing: Jointly Optimizing Return, Risk, and Sustainability', Financial Analysts Journal, vol. 80, no. 3, pp. 59-75. <https://www.tandfonline.com/doi/full/10.1080/0015198X.2024.2335142>

APA

Lohre, H., Blitz, D., Chen, M., & Howard, C. (2024). 3D Investing: Jointly Optimizing Return, Risk, and Sustainability. Financial Analysts Journal, 80(3), 59-75. https://www.tandfonline.com/doi/full/10.1080/0015198X.2024.2335142

Vancouver

Lohre H, Blitz D, Chen M, Howard C. 3D Investing: Jointly Optimizing Return, Risk, and Sustainability. Financial Analysts Journal. 2024 Apr 29;80(3):59-75.

Author

Lohre, Harald ; Blitz, David ; Chen, Mike et al. / 3D Investing : Jointly Optimizing Return, Risk, and Sustainability. In: Financial Analysts Journal. 2024 ; Vol. 80, No. 3. pp. 59-75.

Bibtex

@article{93a7978e165244ca9d0c05ae40865c46,
title = "3D Investing: Jointly Optimizing Return, Risk, and Sustainability",
abstract = "Traditional mean-variance portfolio optimization is based on the premise that investors only care about risk and return. However, some investors also have non-financial objectives such as sustainability goals. We show how the traditional approach can readily be extended to mean-variance-sustainability optimization and explain why this 3D investing approach is ex-ante Pareto-optimal. We illustrate its efficacy empirically in several studies, including carbon footprint and sustainable development goal objectives. Importantly, we highlight conditions under which a 3D optimization approach is superior to a na{\"i}ve 2D approach augmented with sustainability constraints.",
author = "Harald Lohre and David Blitz and Mike Chen and Clint Howard",
year = "2024",
month = apr,
day = "29",
language = "English",
volume = "80",
pages = "59--75",
journal = "Financial Analysts Journal",
issn = "0015-198X",
publisher = "CFA Institute",
number = "3",

}

RIS

TY - JOUR

T1 - 3D Investing

T2 - Jointly Optimizing Return, Risk, and Sustainability

AU - Lohre, Harald

AU - Blitz, David

AU - Chen, Mike

AU - Howard, Clint

PY - 2024/4/29

Y1 - 2024/4/29

N2 - Traditional mean-variance portfolio optimization is based on the premise that investors only care about risk and return. However, some investors also have non-financial objectives such as sustainability goals. We show how the traditional approach can readily be extended to mean-variance-sustainability optimization and explain why this 3D investing approach is ex-ante Pareto-optimal. We illustrate its efficacy empirically in several studies, including carbon footprint and sustainable development goal objectives. Importantly, we highlight conditions under which a 3D optimization approach is superior to a naïve 2D approach augmented with sustainability constraints.

AB - Traditional mean-variance portfolio optimization is based on the premise that investors only care about risk and return. However, some investors also have non-financial objectives such as sustainability goals. We show how the traditional approach can readily be extended to mean-variance-sustainability optimization and explain why this 3D investing approach is ex-ante Pareto-optimal. We illustrate its efficacy empirically in several studies, including carbon footprint and sustainable development goal objectives. Importantly, we highlight conditions under which a 3D optimization approach is superior to a naïve 2D approach augmented with sustainability constraints.

M3 - Journal article

VL - 80

SP - 59

EP - 75

JO - Financial Analysts Journal

JF - Financial Analysts Journal

SN - 0015-198X

IS - 3

ER -