Modern Perspectives on Portfolio Optimization

This article examines portfolio optimization strategies that address both financial and ESG risks. First, portfolios are optimized to minimize financial risk using Conditional Value-at-Risk (CVaR), Mean Variance (MV) and Gini tools, that is a coherent risk measure that captures extreme market losses. After identifying portfolios with reduced financial risk, a second optimization is applied to further lower ESG risks, ensuring alignment with sustainability goals. By integrating both financial and ESG considerations, the approach produces portfolios that offer strong financial performance while meeting responsible investing criteria. Results show that ESG-coherent portfolios not only meet sustainability objectives but also exhibit competitive, resilient financial outcomes. This dual optimization process provides investors with portfolios that balance risk management with ethical investment principles.