TY - JOUR T1 - Practical Applications of An Integrated Approach to Quantitative ESG Investing JF - Practical Applications SP - 1 LP - 6 DO - 10.3905/pa.8.3.413 VL - 8 IS - 3 AU - Mike Chen AU - George Mussalli Y1 - 2021/01/31 UR - https://pm-research.com/content/8/3/1.13.abstract N2 - 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’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’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 ER -