@article {Chen1, author = {Mike Chen and George Mussalli}, title = {Practical Applications of An Integrated Approach to Quantitative ESG Investing}, volume = {8}, number = {2}, pages = {1--6}, year = {2020}, doi = {10.3905/pa.8.2.413}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In An Integrated Approach to Quantitative ESG Investing, from the February 2020 issue of The Journal of Portfolio Management, authors Mike Chen and George Mussalli (both of PanAgora Asset Management) propose a novel quantitative framework for optimizing both alpha and the environmental, social, and corporate governance (ESG) aspects of a portfolio. Although investors, especially those in the millennial generation, have become increasingly interested in the ESG aspects of the companies within their portfolios, there has not yet been a well-defined process for constructing portfolios that factors ESG principles into a strictly return-oriented model.Chen and Mussalli{\textquoteright}s approach is based on three pillars: ESG factors that may also be alpha factors, a unique materiality value that links ESG considerations to alpha, and a portfolio construction framework that is informed by an investor{\textquoteright}s ESG preferences. The key strengths of this integrated ESG modeling framework are its flexibility, relevancy, and dynamic nature. TOPICS: Portfolio theory, portfolio construction, ESG investing}, issn = {2329-0196}, URL = {https://pa.pm-research.com/content/8/2/1.28}, eprint = {https://pa.pm-research.com/content/8/2/1.28.full.pdf}, journal = {Practical Applications} }