This white paper by Robeco’s quant research and sustainability team outlines a framework for integrating sustainability directly into portfolio optimization alongside risk and return.
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A 3D optimization approach jointly targets return, risk, and sustainability, avoiding the hidden costs of constraint-based ESG integration.
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Proprietary climate, biodiversity, and SDG metrics capture distinct, weakly correlated sustainability dimensions, enabling diversified impact.
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Empirical results show material sustainability improvements can be achieved with modest increases in tracking error.
How might this framework reshape portfolio construction as investor sustainability preferences continue to evolve?
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