ASG: uma análise de otimização do Índice de Sustentabilidade Empresarial da B3, ISE, à luz das premissas de finanças comportamentais

Resumo

The significant growth in discussions on the relationship between finance and sustainability has as its central point the wondering whether it is possible to have synergy between the generation of alpha in the return and profitability of an asset that has a sustainable identity and composition. In this context, this paper looks forward to analyze the theme of sustainability, represented by the ESG assumptions - Environmental, Social and Governance, under the theoretical bias of behavioral finance. Just as the heuristics and the Prospect Theory represented a counterpoint to the premise of strict rationality of economic agents, provided for by the Modern Theory of Finance, the ESG, based on this new perspective for decisionmaking, seeks to assert that it is possible to generate value with adoption and filters of sustainable assumptions. The emphasis of the work is to verify, through optimization at the Markowitz Efficient Frontier, whether a sustainable portfolio, represented by the Índice de Sustentabilidade Empresarial - ISE, can present a better risk-adjusted return performance, compared to the benchmark of the market portfolio, represented by the Índice Ibovespa – IBOV.

Ficha do documento

Tipo

Dissertação

Ano

2021

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/31402

Temas

EconomiaGovernançaMeio Ambiente

Palavras-chave

ASGFinanças comportamentaisGestão de portfólioESGBehavioral financePortfolio managementEconomiaFinanças - Aspectos psicológicosInvestimentos - AdministraçãoEmpresas - AvaliaçãoResponsabilidade social da empresaSustentabilidade